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The Resource Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation

Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation

Label
Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation
Title
Leveraged Exchange-Traded Funds
Title remainder
Price Dynamics and Options Valuation
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
MiAaPQ
Literary form
non fiction
Nature of contents
dictionaries
Series statement
SpringerBriefs in Quantitative Finance Ser
Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation
Label
Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation
Link
http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/rpi/detail.action?docID=4427533
Publication
Copyright
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Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preface -- Contents -- 1 Introduction -- 2 Price Dynamics of Leveraged ETFs -- 2.1 Returns of Leveraged ETFs -- 2.2 Continuous-Time Model for Leveraged ETFs -- 2.3 Empirical Leverage Ratio Estimation -- 2.4 Dynamic Leveraged Futures Portfolio -- 2.4.1 Static Leverage Replication -- 2.4.2 Dynamic Leverage Replication -- 2.5 Static Delta-Neutral Long-Volatility LETF Portfolios -- 3 Risk Analysis of Leveraged ETFs -- 3.1 Admissible Leverage Ratio -- 3.2 Admissible Risk Horizon -- 3.3 Intra-Horizon Risk and Stop-Loss Exit -- 4 Options on Leveraged ETFs -- 4.1 Empirical Returns of LETF Options -- 4.2 Implied Dividend -- 4.3 Implied Volatility -- 4.4 Pricing Under Heston Stochastic Volatility -- 4.5 Model Calibration and Consistency -- 4.6 Moneyness Scaling -- 4.7 Incorporating Jumps with Stochastic Volatility -- 5 Conclusions -- References -- Index
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Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4384926'}
Extent
1 online resource (104 pages)
Form of item
online
Isbn
9783319290942
Media category
computer
Media MARC source
rdamedia
Media type code
c
Sound
unknown sound
Specific material designation
remote

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