Art & Finance: Fine Art Derivatives

Authors

  • Laura Quattrocchi Università Cattolica del Sacro Cuore
  • Francesco Strati Università degli Studi di Siena

DOI:

https://doi.org/10.1478/AAPP.92S1B3

Keywords:

G1, G110, G120

Abstract

This work is intended to introduce a new kind of asset, the so called art asset. This financial tool is an asset whose value is related to an art-work, and in particular to the artist reputation. It will be shown the evaluation of an art asset by using a particular kind of volatility, the α-hedging. This tool normalizes the prices volatility of the art-works of an artist (or an art-movement) by a sentiment index referred to the Art Market. At last we shall show how the art assets' values are related to an art-call option.

Archimede by Domenico Fetti (1620)

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Published

2014-04-22

Issue

Vol 92, SUPPLEMENT NO 1 (2014): PISRS Proceedings (Part III)

Section

PISRS: Mathematics in Economics and Finance

License

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