Implied Volatility of Leveraged ETF Options (Q4682478)

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scientific article; zbMATH DE number 6938624
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Implied Volatility of Leveraged ETF Options
scientific article; zbMATH DE number 6938624

    Statements

    title
    Implied Volatility of Leveraged ETF Options (English)
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    author
    Tim Leung
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    Ronnie Sircar
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    publication date
    18 September 2018
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    zbMATH DE Number
    6938624
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    zbMATH Keywords
    exchange-traded funds
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    leverage
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    implied volatility
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    stochastic volatility
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    moneyness scaling
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