The reactive volatility model

Valeyre, Sébastien; Grebenkov, Denis; Aboura, Sofiane; Liu, Qian

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

Number

Publisher

Routledge

Pages

1697-1706

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