Consistent pricing of options on leveraged ETFs

DOI10.1137/151003933MaRDI QIDQ2941473zbMATH OpenOpenAlexFDO

Authors Andrew Ahn, Martin B. Haugh, Ashish Jain

Publication date 28 August 2015

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/151003933

zbMATH Keywords

optionstransformsleveraged ETF

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Leveraged ETF implied volatilities from ETF dynamics
• Implied volatility of leveraged ETF options
• Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
• Leveraged exchange-traded funds. Price dynamics and options valuation
• Robust hedging of options on a leveraged exchange traded fund

Cites work

• A Multivariate Exponential Distribution
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A note on constant proportion trading strategies
• Applications of Fourier transform to smile modeling. Theory and implementation.
• Implied volatility of leveraged ETF options
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Numerical solution of jump-diffusion LIBOR market models
• Path-dependence of leveraged ETF returns
• Saddlepoint approximations for affine jump-diffusion models
• The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(7)

• Leveraged exchange-traded funds. Price dynamics and options valuation
• Robust replication of volatility and hybrid derivatives on jump diffusions
• Implied volatility of leveraged ETF options
• Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
• Leveraged ETF implied volatilities from ETF dynamics
• Model-driven statistical arbitrage on LETF option markets
• Robust hedging of options on a leveraged exchange traded fund

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