Trend derivatives: Pricing, hedging, and application to executive stock options
提出一种新型衍生品，其收益与标的资产趋势挂钩，可降低投资时机选择的重要性，并展示了定价、对冲方法及其在高管股票期权计划中的应用。
Abstract Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of the underlying instrument is introduced. By linking the trend to the payoff, the timing of the decision becomes less important. Therefore, trend derivatives offer some time‐diversification benefits. How trend derivatives are designed and priced is shown. Due to their peculiar features, trend derivatives offer some interesting applications such as executive stock option plans. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:151–186, 2007