Leveraged exchange-traded funds: price dynamics and options valuation
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham
Springer
[2016]
|
| Series: | SpringerBriefs in quantitative finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 97 Seiten |
| ISBN: | 9783319290928 |
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Record in the Search Index
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| adam_text | Contents
1 Introduction.................................................. 1
2 Price Dynamics of Leveraged ETFs.............................. 7
2.1 Returns of Leveraged ETFs.................................. 7
2.2 Continuous-Time Model for Leveraged ETFs ................. 10
2.3 Empirical Lev« rage Ratio Estimation .................... 14
2.4 Dynamic Leveraged Futures Portfolio....................... 22
2.4.1 Static Leverage Replication........................ 24
2.4.2 Dynamic Leverage Replication....................... 28
2.5 Static Delta-Neutral Long-Volatility LETF Portfolios...... 31
3 Risk Analysis of Leveraged ETFs............................... 37
3.1 Admissible Leverage Ratio................................. 38
3.2 Admissible Risk Horizon .................................. 43
3.3 Intra-Horizon Risk and Stop-Loss Exit..................... 45
4 Options on Leveraged ETFs..................................... 51
4.1 Empirical Returns of LETF Options......................... 51
4.2 Implied Dividend.......................................... 59
4.3 Implied Volatility........................................ 62
4.4 Pricing Under Heston Stochastic Volatility................ 65
4.5 Model Calibration and Consistency......................... 69
4.6 Moneyness Scaling......................................... 75
4.7 Incorporating Jumps with Stochastic Volatility............ 79
IX
X
Contents
5 Conclusions........................................... 89
References................................................ 93
Index..................................................... 97
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| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV043587909 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:30:21Z |
| institution | BVB |
| isbn | 9783319290928 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029002402 |
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| owner_facet | DE-355 DE-BY-UBR |
| physical | X, 97 Seiten |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Springer |
| record_format | marc |
| series2 | SpringerBriefs in quantitative finance |
| spelling | Leung, Tim Verfasser (DE-588)137785097 aut Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli Cham Springer [2016] X, 97 Seiten txt rdacontent n rdamedia nc rdacarrier SpringerBriefs in quantitative finance Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik Santoli, Marco Verfasser aut Erscheint auch als Online-Ausgabe 978-3-319-29094-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029002402&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Leung, Tim Santoli, Marco Leveraged exchange-traded funds price dynamics and options valuation Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
| title | Leveraged exchange-traded funds price dynamics and options valuation |
| title_auth | Leveraged exchange-traded funds price dynamics and options valuation |
| title_exact_search | Leveraged exchange-traded funds price dynamics and options valuation |
| title_full | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_fullStr | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_full_unstemmed | Leveraged exchange-traded funds price dynamics and options valuation Tim Leung, Marco Santoli |
| title_short | Leveraged exchange-traded funds |
| title_sort | leveraged exchange traded funds price dynamics and options valuation |
| title_sub | price dynamics and options valuation |
| topic | Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
| topic_facet | Mathematics Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Mathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029002402&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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