Path-Dependence of Leveraged ETF Returns
From MaRDI portal
Publication:3580039
DOI10.1137/090760805zbMath1193.91167OpenAlexW3121484312MaRDI QIDQ3580039
Stanley Zhang, Marco Avellaneda
Publication date: 11 August 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/11f1cc7a998a583a79de1ae8bedf89d1ec77138b
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items
Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models, Optimal static quadratic hedging, The dynamics of leveraged ETFs returns: a panel data study, A study of leveraged ETF based on geometric return, Dynamic Index Tracking and Risk Exposure Control Using Derivatives, Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing, Consistent Pricing of Options on Leveraged ETFs, Leveraged funds: robust replication and performance evaluation, Robust replication of volatility and hybrid derivatives on jump diffusions, In memoriam: Marco Avellaneda (1955–2022), Dissecting the tracking performance of regular and leveraged VIX ETPs, A note on constant proportion trading strategies, LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH, 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, Pricing European call options under a hard-to-borrow stock model, Implied Volatility of Leveraged ETF Options, Model-driven statistical arbitrage on LETF option markets, Modelling the rebalancing slippage of leveraged exchange-traded funds, An optimisation approach to constructing an exchange-traded fund, Unnamed Item
