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

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation



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


ETFs to deliver their daily targets and the dynamics that affect their pricing behavior, such as their options, forwards, swaps and futures. Rigorous error bounds for this pricing approximation are established. PXJ - PowerShares Dynamic Oil & Gas Services Portfolio . Question of consistent pricing of options on ETFs and LETFs with the same . 3 PRICEDYNAMICS OF LEVERAGED EXCHANGE-TRADED FUNDS concern is the price consistency of LETF options across different leverage ratios (see. The leveraged and inverse ETFs are the subject of the current paper. Leveraged Exchange-Traded Funds : Price Dynamics and Options Valuation. Strike (Exercise) Prices: In-, at- and out-of-the-money strike prices are initially listed. EFA - Options on iShares MSCI EAFE Exchange Traded Fund EFV - iShares MSCI EAFE Value ETF Wright Focus 5 ETF FVD - First Trust Value Line Dividend Index Fund . Suggest that value erosion is more severe for highly leveraged ETFs. The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts (LETFs).





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