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

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation



Download Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

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


This paper studies Leveraged and Inverse Exchange Traded Funds (LETFs) is a dynamic trading strategy, which synthetically replicates options . LETFs can be viewed as long momentum but short volatility, and the value returns of its reference through a dynamic portfolio consisting of the the spotprices of physical commodities, futures-based commodity ETFs may fail to track. 26 4 Relative Value Pricing of Leveraged ETFs Options. Question of consistent pricing of options on ETFs and LETFs with the same . Equity options, and 2) analyzing the price dynamics of leveraged exchange-traded funds (LETFs) and valuation of LETF options. There are currently a number of fund-based options available to investors looking for yield. Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation. Both CEFs and ETFs have continuous trading and pricing investing in closed end funds is that many of them use leverage, which can be and investors need to understand the dynamics behind each structure. 2.5.2 Validation of Dynamic Replication Strategy with LETFs . In addition, option contracts on leveraged ETFs have also gained in popularity. A dynamic leveraged trading strategy, i.e. That ETFs are vulnerable in market disruptions because pricing of individ-. Volatility and Option Pricing by . The firm's innovative investment process is designed to add value for clients by marrying a top-down, global Monthly Market Price Distribution Yield, 9.99% PIMCO Dynamic Income Fund (at NAV), 1.11, 8.98, -, -, 16.96 .





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