Published May 8, 2022
| Version v1
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Hedge Fund Barrier Option Analytics
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A hedge fund barrier call option is a note whose payoff is based on a basket of hedge funds. The deals are structured so that once the barrier (usually set at 95% of the notional) is hit, the funds in the basket are sold off, with the realized fund value depending on the redemption period of each fund.
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zenodo-hedge-fund-Barrier.pdf
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