Consistent Pricing of Options on Leveraged ETFs

DOI10.1137/151003933zbMath1320.91140OpenAlexW3125078693MaRDI QIDQ2941473

Martin B. Haugh, Ashish Jain, Andrew Ahn

Publication date: 28 August 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/151003933

zbMATH Keywords

optionstransformsleveraged ETF

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Robust replication of volatility and hybrid derivatives on jump diffusions ⋮ Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Implied Volatility of Leveraged ETF Options ⋮ Model-driven statistical arbitrage on LETF option markets

Cites Work

• A note on constant proportion trading strategies
• Applications of Fourier transform to smile modeling. Theory and implementation.
• Numerical solution of jump-diffusion LIBOR market models
• Saddlepoint approximations for affine jump-diffusion models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
• Path-Dependence of Leveraged ETF Returns
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Implied Volatility of Leveraged ETF Options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Multivariate Exponential Distribution

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