Consistent pricing of options on leveraged ETFs
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Publication:2941473
DOI10.1137/151003933zbMATH Open1320.91140OpenAlexW3125078693MaRDI QIDQ2941473FDOQ2941473
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
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
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- A Multivariate Exponential Distribution
- Saddlepoint approximations for affine jump-diffusion models
- Numerical solution of jump-diffusion LIBOR market models
- Path-dependence of leveraged ETF returns
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- A note on constant proportion trading strategies
- Applications of Fourier transform to smile modeling. Theory and implementation.
- Implied volatility of leveraged ETF options
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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