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Leveraged Etf Implied Volatilities From Etf Dynamics

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  • Tim Leung
  • Matthew Lorig
  • Andrea Pascucci

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Suggested Citation

  • Tim Leung & Matthew Lorig & Andrea Pascucci, 2017. "Leveraged Etf Implied Volatilities From Etf Dynamics," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1035-1068, October.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:4:p:1035-1068
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-4
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    Cited by:

    1. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    2. Olesya Grishchenko & Xiao Han & Victor Nistor, 2018. "A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model," Papers 1812.09904, arXiv.org.
    3. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
    4. Matthew Lorig & Natchanon Suaysom, 2022. "Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models," Papers 2212.04425, arXiv.org.
    5. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.

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