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: | , |
|---|---|
| Format: | Others |
| Published: |
Society for Computational Economics (SCE),
2016-03-01T22:00:55Z.
|
| Subjects: | |
| Online Access: | Get fulltext |