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Levered ETFs have the behavior similar to power contracts, but there aren't any listed options. Some banks should be able to sell you OTC contracts, although I doubt you can do any arbitrage like trade if you are hoping to do - the bid and ask will kill you!


It's pretty straightforward to replicate (in theory!) by just buying a call struck at b, and another one struck at b+1, and another one struck at b+2, and another one struck at b+3, and so on, and then buy a put struck at b, and another one struck at b-1, and another one struck at b-2, etc., and then scaling the whole thing and adding c. You can easily ...


Richard nails it. One needs to distinguish the forward price (or just "forward"), which is a number that denotes at which strike you can now enter a forward without upfront payment, and the value of a forward contract, which is typically zero at inception (if the strike chosen is indeed the forward price), but then varies over time, and ends up as $S(T) - ...


adam I still think that your question is a bit vague but perhaps the following will be of some help to you. First of all Itô's theorem is a tool. It will never give you the price by itself. While working out the concrete formula one might end up using it in one context or another. In case of a european option, a borel measurable function $h$ and $X_t$ ...

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