Implied Volatility of Leveraged ETF Options

DOI10.1080/1350486X.2014.975825zbMath1396.91748MaRDI QIDQ4682478

Ronnie Sircar, Tim Leung

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility; leverage; implied volatility; exchange-traded funds; moneyness scaling

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Optimal static quadratic hedging, Dynamic Index Tracking and Risk Exposure Control Using Derivatives, Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility, Model-driven statistical arbitrage on LETF option markets, LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH, Robust replication of volatility and hybrid derivatives on jump diffusions, Sensitivity analysis of long-term cash flows, Consistent Pricing of Options on Leveraged ETFs

Cites Work

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• Pricing Options on Defaultable Stocks*
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