Implied volatility of leveraged ETF options
Tim Leung & Ronnie Sircar
| Year of publication: |
2015
|
|---|---|
| Authors: | Leung, Tim ; Sircar, Kaushik Ronnie |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 162-188
|
| Subject: | Exchange-traded funds | leverage | implied volatility | stochastic volatility | moneyness scaling | Volatilität | Volatility | Indexderivat | Index derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010505139