Implied Volatility of Leveraged ETF Options

DOI10.1080/1350486X.2014.975825zbMath1396.91748MaRDI QIDQ4682478

Ronnie Sircar, Tim Leung

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityleverageimplied volatilityexchange-traded fundsmoneyness scaling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (8)

Optimal static quadratic hedging ⋮ Dynamic Index Tracking and Risk Exposure Control Using Derivatives ⋮ Consistent Pricing of Options on Leveraged ETFs ⋮ Robust replication of volatility and hybrid derivatives on jump diffusions ⋮ 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 ⋮ Sensitivity analysis of long-term cash flows ⋮ Model-driven statistical arbitrage on LETF option markets

Cites Work

• Option pricing under a stressed-beta model
• A note on constant proportion trading strategies
• Consistent Pricing of Options on Leveraged ETFs
• Calibration of Stock Betas from Skews of Implied Volatilities
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Computing the implied volatility in stochastic volatility models
• Asymptotics of Implied Volatility far from Maturity
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• Pricing Options on Defaultable Stocks*
• Path-Dependence of Leveraged ETF Returns
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Stochastic Volatility Corrections for Interest Rate Derivatives

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