Pricing Leveraged ETFS Options under Heston Dynamics
The aim of this thesis is to derive a pricing formula for options on leverage exchange-traded funds (LETFs) with the assumption that the underlying index follows the Heston model dynamics. In order to price options for LETFs, we first establish a relationship between the price of an LETF and the val...
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| Format: | Others |
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Auckland University of Technology,
2018-08-27T21:01:43Z.
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| Online Access: | Get fulltext |