A study about the existence of the leverage effect in stochastic volatility models
Year of publication: |
2009
|
---|---|
Authors: | Florescu, Ionuţ ; Pãsãricã, Cristian Gabriel |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 4, p. 419-432
|
Publisher: |
Elsevier |
Subject: | Stochastic volatility | Modeling | Leverage effect | The Itô lemma |
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