LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

DOI10.1111/mafi.12128zbMath1411.91572arXiv1404.6792OpenAlexW2408357089MaRDI QIDQ5371136

Tim Leung, Matthew Lorig, Andrea Pascucci

Publication date: 24 October 2017

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

Full work available at URL: https://arxiv.org/abs/1404.6792

zbMATH Keywords

implied volatilitylocal-stochastic volatilityimplied volatility scalingleveraged exchange-traded fund

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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