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Options on Hedge Funds under the High Water Mark Rule

dc.contributor.authorAtlan, Marc
dc.contributor.authorGeman, Hélyette
dc.contributor.authorYor, Marc
dc.date.accessioned2010-01-27T13:39:48Z
dc.date.available2010-01-27T13:39:48Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3170
dc.language.isoenen
dc.subjectOptions on hedge fundsen
dc.subjectHigh-water marken
dc.subjectLocal timeen
dc.subjectExcursion theoryen
dc.subject.ddc519en
dc.subject.classificationjelG10en
dc.titleOptions on Hedge Funds under the High Water Mark Ruleen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherLaboratoire de probabilités. Université Pierre et Marie Curie;France
dc.contributor.editoruniversityotherLaboratoire de probabilités. Université Pierre et Marie Curie;France
dc.description.abstractenThe rapidly growing hedge fund industry has provided individual and institutional investors with new investment vehicles and styles of management. It has also brought forward a new form of performance contract: hedge fund managers receive incentive fees which are typically a fraction of the fund net asset value (NAV) above its starting level - a rule known as high water mark. Options on hedge funds are becoming increasingly popular, in particular because they allow investors with limited capital to get exposure to this new asset class. The goal of the paper is to propose a valuation of plain-vanilla options on hedge funds which accounts for the high water market rule. Mathematically, this valuation leads to an interesting use of local times of Brownian motion. Option prices are numerically computed by inversion of their Laplace transforms.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages27en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00012382/en/en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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