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Quantitative Finance · Glossary

What is Closed-end fund discount?

Definition 12.3 Strategies I: Equities and Futures · Chapter 12 — Share Classes, Holding Companies, Closed-End Funds and SPACs

A closed-end fund discount is the amount by which a closed-end fund’s share price falls short of its net asset value per share, as a fraction of the net asset value; a closed-end fund issues a fixed number of shares that trade on an exchange and cannot be redeemed at net asset value.

The closed-end fund discount trade: when it closes (the discount reaches 5%, a catalyst arrives, or three years pass), over 10 000 simulated paths; the last bar holds the trades still open at three years. Data: s1_structrv.fund.
Figure 12.1. The closed-end fund discount trade: when it closes (the discount reaches 5%, a catalyst arrives, or three years pass), over 10 000 simulated paths; the last bar holds the trades still open at three years. Data: s1_structrv.fund.
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