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Path dependent options : = The case of high water mark provision for hedge funds.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Path dependent options :/
Reminder of title:	The case of high water mark provision for hedge funds.
Author:	Li, Zhe.
Description:	1 online resource (51 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 64-05, Section: B.
Contained By:	Dissertations Abstracts International64-05B.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3058114click for full text (PQDT)
ISBN:	9780493736884

Path dependent options : = The case of high water mark provision for hedge funds.
Li, Zhe.

Path dependent options :The case of high water mark provision for hedge funds. - 1 online resource (51 pages)

Source: Dissertations Abstracts International, Volume: 64-05, Section: B.

Thesis (Ph.D.)--University of Illinois at Chicago, 2002.

Includes bibliographical references

High Water Mark (HWM) provision is an important feature in the hedge fund industry. The framework of the option pricing with HWM provision for hedge funds is developed in this paper. The closed forms of HWM lookback put option, Russian option and stoploss option are derived. We also obtain the internal relationship between HWM lookback put and the traditional lookback option. We show that HWM lookback put is cheaper than the traditional lookback put, and the higher the incentive fee, the lower the option price.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9780493736884Subjects--Topical Terms:

515831
Mathematics.
Subjects--Index Terms:

Hedge fundsIndex Terms--Genre/Form:

542853
Electronic books.

Path dependent options : = The case of high water mark provision for hedge funds.
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100 1 $a Li, Zhe. $3 1264118
245 1 0 $a Path dependent options : $b The case of high water mark provision for hedge funds.
264 0 $c 2002
300 $a 1 online resource (51 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertations Abstracts International, Volume: 64-05, Section: B.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: Yau, Stephen.
502 $a Thesis (Ph.D.)--University of Illinois at Chicago, 2002.
504 $a Includes bibliographical references
520 $a High Water Mark (HWM) provision is an important feature in the hedge fund industry. The framework of the option pricing with HWM provision for hedge funds is developed in this paper. The closed forms of HWM lookback put option, Russian option and stoploss option are derived. We also obtain the internal relationship between HWM lookback put and the traditional lookback option. We show that HWM lookback put is cheaper than the traditional lookback put, and the higher the incentive fee, the lower the option price.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Mathematics. $3 515831
650 4 $a Finance. $3 542899
650 4 $a Studies. $3 3433795
650 4 $a Partial differential equations. $3 2180177
650 4 $a Boundary conditions. $3 3560411
650 4 $a Fees & charges. $3 3642178
653 $a Hedge funds
653 $a High-water mark
653 $a Options
653 $a Path-dependent options
655 7 $a Electronic books. $2 lcsh $3 542853
690 $a 0405
690 $a 0770
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a University of Illinois at Chicago. $3 1020478
773 0 $t Dissertations Abstracts International $g 64-05B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3058114 $z click for full text (PQDT)