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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

Type
Article accepté pour publication ou publié
External document link
http://arxiv.org/abs/1209.5190v2
Date
2013-11
Journal name
Quantitative Finance
Volume
13
Number
11
Publisher
Routledge
Pages
1697-1706
Publication identifier
10.1080/14697688.2013.797594
Metadata
Show full item record
Author(s)
Valeyre, Sébastien

Grebenkov, Denis cc

Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Liu, Qian
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 / Keywords
Volatilité (finances); Modèles mathématiques; Marché financier
JEL
C51 - Model Construction and Estimation
G10 - General
G13 - Contingent Pricing; Futures Pricing

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