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Article Dans Une Revue Quantitative Finance Année : 2013

The reactive volatility model

Sébastien Valeyre
  • Fonction : Auteur
Denis S Grebenkov
Qian Liu
  • Fonction : Auteur

Résumé

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.

Dates et versions

hal-01531278 , version 1 (01-06-2017)

Identifiants

Citer

Sébastien Valeyre, Denis S Grebenkov, Sofiane Aboura, Qian Liu. The reactive volatility model. Quantitative Finance, 2013, 13 (11), pp.1697-1706. ⟨10.1080/14697688.2013.797594⟩. ⟨hal-01531278⟩
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