Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation (SpringerBriefs in Quantitative Finance)

by Marco Santoli (Contributor), Tim Leung (Author)

• New

  Paperback
  2016

  $65.01

  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.