Andrew Ahn

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

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Consistent Pricing of Options on Leveraged ETFs

Number of pages: 43 Posted: 21 Sep 2012 Last Revised: 22 Oct 2014
Andrew Ahn, Martin B. Haugh and Ashish Jain
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Imperial College Business School and Independent
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Citation 8

Abstract:

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ETFs, leveraged ETFs, options