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Implied Volatility of Leveraged ETF Options
Tim Leung,
Ronnie Sircar
Operations Research & Financial Engineering
Bendheim Center for Finance
Research output
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Contribution to journal
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Article
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peer-review
14
Scopus citations
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Keyphrases
Implied Volatility
100%
Leveraged ETFs
100%
ETF Options
100%
Leverage Ratio
75%
Option Price
50%
Implied Volatility Skew
50%
Price Volatility
25%
Option-implied
25%
Multifractal Volatility
25%
Asymptotic Techniques
25%
S&P 500
25%
Approximation Formula
25%
Option-implied Volatility
25%
Market Value
25%
Apparent Bias
25%
Volatility Framework
25%
Moneyness Scaling
25%
Mathematics
Implied Volatility
100%
Leverage Ratio
42%
Option Price
28%
Asymptotics
14%
Stochastic Volatility
14%
Market Price
14%
Economics, Econometrics and Finance
Volatility
100%
Capital Structure
37%