Robust long-term growth rate of expected utility for leveraged ETFs
From MaRDI portal
Publication:6655912
DOI10.1007/s11579-024-00371-1MaRDI QIDQ6655912
Hyungbin Park, Tim Leung, Heejun Yeo
Publication date: 27 December 2024
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Robust hedging of options on a leveraged exchange traded fund
- A new approach for option pricing under stochastic volatility
- Multidimensional diffusion processes.
- Large Time Behavior of Solutions to SemiLinear Equations with Quadratic Growth in the Gradient
- STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
- A Theory of the Term Structure of Interest Rates
- Path-Dependence of Leveraged ETF Returns
- Long-Term Risk: An Operator Approach
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
- Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
- Implied Volatility of Leveraged ETF Options
- Pricing and hedging derivative securities in markets with uncertain volatilities
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
- An equilibrium characterization of the term structure
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Options on realized variance by transform methods: a non-affine stochastic volatility model
This page was built for publication: Robust long-term growth rate of expected utility for leveraged ETFs
