Leveraged Exchange-Traded Funds Price Dynamics and Options Valuation /

• Κύριοι συγγραφείς: Leung, Tim (Συγγραφέας), Santoli, Marco (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Έκδοση: 1st ed. 2016.
• Σειρά: SpringerBriefs in Quantitative Finance,
• Θέματα: 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...

Πίνακας περιεχομένων:

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