The reactive volatility model
Valeyre, Sébastien; Grebenkov, Denis; Aboura, Sofiane; Liu, Qian (2013), The reactive volatility model, Quantitative Finance, 13, 11, p. 1697-1706. 10.1080/14697688.2013.797594
TypeArticle accepté pour publication ou publié
External document linkhttp://arxiv.org/abs/1209.5190v2
Journal nameQuantitative Finance
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Dauphine Recherches en Management [DRM]
Abstract (EN)The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and price relations known as Constant Elasticity of Variance Model (CEV) was developed by Cox.
Subjects / KeywordsVolatilité (finances); Modèles mathématiques; Marché financier
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