Robust hedging of options on a leveraged exchange traded fund

Autor: Sam M. Kinsley, Alexander M. G. Cox

Publikováno v: Ann. Appl. Probab. 29, no. 1 (2019), 531-576
Cox, A M G & Kinsley, S M 2019, ' Robust Hedging of Options on a Leveraged Exchange Traded Fund ', Annals of Applied Probability, vol. 29, no. 1, pp. 531-576 . https://doi.org/10.1214/18-AAP1427

A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding model-free boun

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::288a673f0e5ebb521806d216d3f55047
https://doi.org/10.1214/18-aap1427