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 publiéExternal document link
http://arxiv.org/abs/1209.5190v2Date
2013-11Journal name
Quantitative FinanceVolume
13Number
11Publisher
Routledge
Pages
1697-1706
Publication identifier
Metadata
Show full item recordAuthor(s)
Valeyre, SébastienGrebenkov, Denis

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 financierRelated items
Showing items related by title and author.
-
Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas (2013-03) Communication / Conférence
-
Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas (2014-08) Article accepté pour publication ou publié
-
Aboura, Sofiane; Chevallier, Julien (2014-02) Article accepté pour publication ou publié
-
Aboura, Sofiane; Chevallier, Julien (2015-09) Article accepté pour publication ou publié
-
Aboura, Sofiane; Lépinette, Emmanuel (2014-06) Document de travail / Working paper