Implied Volatility of Leveraged ETF Options
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DOI: 10.1080/1350486X.2014.975825
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Citations
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Cited by:
- Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
- Tim Leung & Brian Ward, 2015.
"The golden target: analyzing the tracking performance of leveraged gold ETFs,"
Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(3), pages 278-297, August.
- Tim Leung & Brian Ward, 2015. "The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs," Papers 1501.02276, arXiv.org, revised Jan 2015.
- Peter Carr & Roger Lee & Matthew Lorig, 2021.
"Robust replication of volatility and hybrid derivatives on jump diffusions,"
Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1394-1422, October.
- Peter Carr & Roger Lee & Matthew Lorig, 2021. "Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions," Papers 2107.00554, arXiv.org.
- Tim Leung & Hyungbin Park, 2017.
"LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-33, September.
- Tim Leung & Hyungbin Park, 2016. "Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach," Papers 1612.01013, arXiv.org.
- Hongkai Cao & Rupak Chatterjee & Zhenyu Cui, 2019. "Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-37, September.
- Tim Leung & Hyungbin Park & Heejun Yeo, 2023. "Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs," Papers 2310.02084, arXiv.org.
- Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
- Tim Leung & Brian Ward, 2018.
"Dynamic Index Tracking and Risk Exposure Control Using Derivatives,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
- Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454, arXiv.org.
- Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
- Pieter van Staden & Peter Forsyth & Yuying Li, 2024. "Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark," Papers 2412.05431, arXiv.org.
- Tim Leung & Hyungbin Park & Heejun Yeo, 2024. "Robust long-term growth rate of expected utility for leveraged ETFs," Mathematics and Financial Economics, Springer, volume 18, number 5, February.
- Tim Leung & Matthew Lorig, 2016.
"Optimal static quadratic hedging,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1341-1355, September.
- Tim Leung & Matthew Lorig, 2015. "Optimal Static Quadratic Hedging," Papers 1506.02074, arXiv.org, revised Nov 2015.
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