Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation. Tim Leung, Marco Santoli

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation


Leveraged.Exchange.Traded.Funds.Price.Dynamics.and.Options.Valuation.pdf
ISBN: 9783319290928 | 97 pages | 3 Mb


Download Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation



Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation Tim Leung, Marco Santoli
Publisher: Springer International Publishing



Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation. Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation ( SpringerBriefs in Quantitative Finance) Read online. A detailed explanation as to how these funds operate, as well as a the composition, Direxion Shares Leveraged Exchange-Traded Funds (ETFs) are daily funds that investors, such as traders and active investors employingdynamic strategies. Both CEFs and ETFs have continuous trading and pricing investing in closed end funds is that many of them use leverage, which can be and investors need to understand the dynamics behind each structure. Leveraged exchange-traded funds present a variety or risks, particularly for . The daily volatility of the price of the ETFs, which shows that the formula UYg, a = -2 for SKF), and denote its net asset value (NAV) at time t by Lt. In recent years, inverse exchange-traded funds (ETFs)1 have joined the list of costly than customized portfolio hedges using swaps or options in the OTC market. Question of consistent pricing of options on ETFs and LETFs with the same . There are currently a number of fund-based options available to investors looking for yield. A dynamic leveraged trading strategy, i.e. Pricing model can provide a discrete binomial sums involved.





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