问题如下:
Why does the incentive component of the fee of a hedge fund involve an option? How can the hedge fund increase the value of the option?
选项:
解释:
The fund receives an incentive fee if its return is positive (or above a hurdle rate). The incentive fee is never negative. The fund’s fees are therefore a call option on the return of the fund. The value of call options increases as volatility increases. This means that the incentive fee actually incentivizes the fund to take as much risk as possible.
为什么Incentive fee是一个call option