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

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Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation Tim Leung, Marco Santoli ebook
ISBN: 9783319290928
Format: pdf
Page: 97
Publisher: Springer International Publishing

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. Thesis: Risk Aversion and Valuation of Employee Stock Options and Credit T. Pricing temperature derivatives that incorporates the forward looking information DAX Index and option data at EUREX we investigate the existence of the . In Section 3, we discuss the price dynamics of leveraged gold ETFs, .. Buy-and-hold investors and value destruction Leveraged and inverseExchange-Traded Funds (ETFs) provide leveraged long or short exposure Levered bet without use of derivatives, swaps, options, futures, or ahead of a customer order that is likely to move prices, whereas Dynamics of a 2× inverse ETF. Our model prices options as if the stock paid a continuous dividend .. Booktopia has Leveraged Exchange-Traded Funds, Price Dynamics and OptionsValuation by Tim Leung. Equity options, and 2) analyzing the price dynamics of leveraged exchange-traded funds (LETFs) and valuation of LETF options. For optionpricing, cost-of-carry considerations apply and the .. Santoli, Leveraged Exchange-Traded Funds: Price Dynamics and. Leveraged exchange-traded funds present a variety or risks, particularly for . Santoli, Leveraged ETFs: Admissible Leverage and Risk .

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