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Leveraged Exchange-Traded Funds

- Price Dynamics and Options Valuation

About Leveraged Exchange-Traded Funds

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.

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  • Language:
  • English
  • ISBN:
  • 9783319290928
  • Binding:
  • Paperback
  • Pages:
  • 97
  • Published:
  • March 7, 2016
  • Edition:
  • 12016
  • Dimensions:
  • 155x235x6 mm.
  • Weight:
  • 1766 g.
Delivery: 2-4 weeks
Expected delivery: December 19, 2024

Description of Leveraged Exchange-Traded Funds

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.

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