Leveraged exchange-traded funds: price dynamics and options valuation
Auteur :
Leung, Tim / Santoli, Marco
Éditeur :
Springer International Publishing AG
ISBN :
9783319290928
Date de publication :
8 mars 2016
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.