Consistent Pricing of Options on Leveraged ETFs (Q2941473): Difference between revisions

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+Path-Dependence of Leveraged ETF Returns
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Saddlepoint approximations for affine jump-diffusion models
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+Numerical solution of jump-diffusion LIBOR market models
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+A note on constant proportion trading strategies
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+The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Implied Volatility of Leveraged ETF Options
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+A Multivariate Exponential Distribution
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+Applications of Fourier transform to smile modeling. Theory and implementation.
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