Abstract
In this paper, we develop various valuation models for closed-end mutual funds under different sets of stochastic processes for the underlying assets. Since we used different stochastic processes from previous literature, it was possible to derive more interesting implications regarding investment strategies, discount puzzles of the funds, and valuation models. In particular, by utilizing Brownian motions and optimal stopping time framework, we succeeded in developing more realistic valuation model, which indicates that we can understand more easily about decision makings regarding optimal timing of reorganization from the closed-end funds to open-ended funds, optimal timing of trading of closed-end funds to realize maximum profits, and optimal design of closed-end fund structure.
Keywords
Citation
Won, C. and Yi, S. (2009), "Contingent-claim Valuation of a Closed-end Fund: Models and Implications", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 17 No. 4, pp. 43-74. https://doi.org/10.1108/JDQS-04-2009-B0002
Publisher
:Emerald Publishing Limited
Copyright © 2009 Emerald Publishing Limited
License
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode