Options on Leveraged ETF: Calibrations and Error Analysis

Da Fonseca, JC; Xu, Y

Options on Leveraged ETF: Calibrations and Error Analysis

aut.researcher	Da Fonseca, Jose Carlos
dc.contributor.author	Da Fonseca, JC	en_NZ
dc.contributor.author	Xu, Y	en_NZ
dc.date.accessioned	2016-03-01T22:00:55Z
dc.date.available	2016-03-01T22:00:55Z
dc.date.copyright	2015-06-30	en_NZ
dc.date.issued	2015-06-30	en_NZ
dc.description.abstract	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 traded ETF derivatives. We analyze the calibrated parameters and assess the ability of the Heston model to price consistently all the options. Overall we find that the Heston model allows a good fit of the smiles and that the different option sets lead to consistent underlying spot distributions.
dc.identifier.citation	Computing in Economics and Finance held at AI-ECON Taipei (Howard Civil Service International House), Taipei, Taiwan, 2015-06-20 to 2015-06-22	en_NZ
dc.identifier.uri	https://hdl.handle.net/10292/9570
dc.publisher	Society for Computational Economics (SCE)
dc.relation.uri	https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2015&paper_id=346	en_NZ
dc.rights	NOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation). The original publication is available at (see Publisher's Version).
dc.rights.accessrights	OpenAccess	en_NZ
dc.title	Options on Leveraged ETF: Calibrations and Error Analysis	en_NZ
dc.type	Conference Contribution
pubs.elements-id	185770
pubs.organisational-data	/AUT
pubs.organisational-data	/AUT/Business & Law
pubs.organisational-data	/AUT/Business & Law/Finance
pubs.organisational-data	/AUT/Business & Law/Finance/Finance PBRF 2012