Options on Leveraged ETF: Calibrations and Error Analysis
Within the standard affine stochastic volatility framework we price options on leveraged and inverse leveraged ETFs using Fourier transform. We perform a calibration analysis for a given day on options written on leveraged and inverse leveraged ETFs tracking the S&P500 that is the most actively...
Main Authors: | , |
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Format: | Others |
Published: |
Society for Computational Economics (SCE),
2016-03-01T22:00:55Z.
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Subjects: | |
Online Access: | Get fulltext |