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Stochastic volatility and stochastic leverage

Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...

Persistent link: https://www.econbiz.de/10004972835

Stochastic volatility and stochastic leverage

Veraart, Almut; Veraart, Luitgard - In: Annals of Finance 8 (2012) 2, pp. 205-233

Persistent link: https://www.econbiz.de/10010866544

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young; Fabozzi, Frank; Lin, Zuodong; Rachev, Svetlozar - In: Review of Derivatives Research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010867545

Lévy processes driven by stochastic volatility

Chourdakis, Kyriakos - In: Asia-Pacific Financial Markets 12 (2005) 4, pp. 333-352

Persistent link: https://www.econbiz.de/10005727038

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Closed-form option pricing for exponential Lévy models : a residue approach

Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278

Persistent link: https://www.econbiz.de/10014232627

Pricing swaps on discrete realized higher moments under the lévy process

Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532

Persistent link: https://www.econbiz.de/10012134734

Explicit option valuation in the exponential NIG model

Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299

Persistent link: https://www.econbiz.de/10012608646

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic Modelling 29 (2012) 5, pp. 2035-2038

sample properties and is robust to the stationarity of stochastic volatility. …

Persistent link: https://www.econbiz.de/10010597527