Model-driven statistical arbitrage on LETF option markets
Author:
Affiliation:
1. Lancaster University Management School, Lancaster University, Lancaster LA14YX, UK
2. C.A.S.E.—Center for Applied Statistics & Economics, Humboldt-Universität zu Berlin, Spandauer Str. 1, Berlin 10178, Germany
Funder
Deutsche Forschungsgemeinschaft
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1605186
Reference35 articles.
1. Consistent Pricing of Options on Leveraged ETFs
2. Goodness-of-fit tests for kernel regression with an application to option implied volatilities
3. Statistical arbitrage in the US equities market
4. Path-Dependence of Leveraged ETF Returns
5. Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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