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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Trend derivatives: pricing, hedging, and application to executive stock options |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Futures Markets |
| Publisher | Wiley-Blackwell Publishing, Inc. |
| Geographical Reach | international |
| ISSN | 0270-7314 |
| Volume | 27 |
| Number | 2 |
| Page Range | 151 - 186 |
| Date | 2007 |
| Abstract Text | Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of the underlying instrument is introduced. By linking the trend to the payoff, the timing of the decision becomes less important. Therefore, trend derivatives offer some time-diversification benefits. How trend derivatives are designed and priced is shown. Due to their peculiar features, trend derivatives offer some interesting applications such as executive stock option plans. |
| Official URL | http://onlinelibrary.wiley.com/doi/10.1002/fut.20233/abstract |
| Digital Object Identifier | 10.1002/fut.20233 |
| Other Identification Number | merlin-id:3454 |
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| Keywords | Economics and Econometrics, Accounting, General Business, Management and Accounting, Finance |