The reactive volatility model

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.

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Year of publication:	2013-11
Authors:	Valeyre, Sébastien ; Grebenkov, Denis ; Aboura, Sofiane ; Liu, Qian
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Volatilité (finances) \| Modèles mathématiques \| Marché financier

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Quantitative Finance, 2013, Vol. 13, no. 11. pp. 1697-1706.Length: 9 pages
Classification:	C51 - Model Construction and Estimation ; G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010742272