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Leveraged exchange-traded funds: price dynamics and options valuation
This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on t...
| Autores principales: | , |
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| Lenguaje: | eng |
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Springer
2016
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-29094-2 http://cds.cern.ch/record/2137913 |