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| Tekijä: | Korkie, B. Nakamura, M. Turtle, H.J. |
| Otsikko: | A contingent claim analysis of closed-end fund premia |
| Lehti: | International Review of Financial Analysis
2001 : VOL. 10:4, p. 365-394 |
| Asiasana: | ARBITRAGE CONTINGENT CLAIMS NET PRESENT VALUE PERFORMANCE MEASUREMENT RISK |
| Vapaa asiasana: | CLOSED-END FUNDS |
| Kieli: | eng |
| Tiivistelmä: | The authors estimate contingent claims that replicate monthly net asset value (NAV) payoffs from closed-end funds. A claim's theoretical value is obtained by martingale pricing methods. The resulting net present value (NPVS) sequence is the theoretical premia sequence that is compared to the actual market premia sequence. |
SCIMA