Leveraged ETFs — Price Dynamics and Options Valuation

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Moraine Lake, Canada. Photo by John Lee.

The ETF industry now consists of more than 2,000 funds with well over $4 trillion in assets. Within the ETF universe, some funds are designed to replicate a constant multiple (called leverage ratio) of the daily returns of a reference index. These relatively new financial products are called leveraged ETFs (LETFs).




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Tim Leung, Ph.D.

Tim Leung, Ph.D.

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington, Seattle

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