EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43263
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKraeussl, Romanen_US
dc.contributor.authorWiehenkamp, Christianen_US
dc.date.accessioned2010-03-29en_US
dc.date.accessioned2010-12-15T09:22:47Z-
dc.date.available2010-12-15T09:22:47Z-
dc.date.issued2010en_US
dc.identifier.piurn:nbn:de:hebis:30-75143-
dc.identifier.urihttp://hdl.handle.net/10419/43263-
dc.description.abstractThe art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call option on an art index, derived from one of the most comprehensive data sets of art market transactions. The option allows investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option prices are derived in an equilibrium setting as well as by replication arguments. In the former, option prices depend on the attractiveness of gaining exposure to a previously non-traded risk. This setting further overcomes the problem of art market exposures being dificult to hedge. Results in the replication case are primarily driven by the ability to reduce residual hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who are significantly exposed to art and try to hedge their art exposure by selling a derivative.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2010/03en_US
dc.subject.jelG11en_US
dc.subject.jelG13en_US
dc.subject.jelZ11en_US
dc.subject.ddc330en_US
dc.subject.keywordArt Marketen_US
dc.subject.keywordArt Indexen_US
dc.subject.keywordAlternative Investmentsen_US
dc.subject.keywordOption Pricingen_US
dc.subject.stwKunsten_US
dc.subject.stwMarkten_US
dc.subject.stwIndexen_US
dc.subject.stwKapitalanlageen_US
dc.subject.stwOptionsgeschäften_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwHedgingen_US
dc.subject.stwTheorieen_US
dc.subject.stwWelten_US
dc.titleA call on Art investmentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622761021en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201003-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
622761021.pdf533.88 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.