{"paper":{"title":"Robust Hedging of Options on a Leveraged Exchange Traded Fund","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","q-fin.MF"],"primary_cat":"q-fin.PR","authors_text":"Alexander M. G. Cox, Sam M. Kinsley","submitted_at":"2017-02-23T10:52:03Z","abstract_excerpt":"A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding model-free bounds on the price of these options.\n  To obtain an upper bound, we establish a new optimal solution to the Skorokhod embedding problem (SEP) using methods introduced in Beiglb\\\"ock-Cox-Huesmann. This stopping time can be represented as the hitting time of some region by a Brownian motion, but unlike other solutions of e.g. Root, this region is not un"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1702.07169","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}