Consistent Pricing of Options on Leveraged ETFs
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/151003933
Reference15 articles.
1. Path-Dependence of Leveraged ETF Returns
2. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
3. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
4. Pricing and Hedging Volatility Derivatives
5. Option valuation using the fast Fourier transform
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1. Model-driven statistical arbitrage on LETF option markets;Quantitative Finance;2019-05-23
2. Robust hedging of options on a leveraged exchange traded fund;The Annals of Applied Probability;2019-02-01
3. Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility;SIAM Journal on Financial Mathematics;2018-01
4. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS;Mathematical Finance;2016-05-19
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