Leveraged Exchange-Traded Funds Price Dynamics and Options Valuation /

• Main Authors: Leung, Tim (Author), Santoli, Marco (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Edition: 1st ed. 2016.
• Series: SpringerBriefs in Quantitative Finance,
• Subjects: Mathematics.; Economics, Mathematical.; Macroeconomics.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.

This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on t...

Table of Contents:

• Introduction
• Price Dynamics of Leveraged ETFs
• Risk Analysis of Leveraged ETFs
• Options on Leveraged ETFs
• Conclusions.