Stochastic equity volatility related to the leverage effect
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Publication:4845150
DOI10.1080/13504869400000004zbMATH Open0831.90007OpenAlexW1598592179MaRDI QIDQ4845150FDOQ4845150
Authors: Michel Crouhy, Dan Galai, Alain Bensoussan 
Publication date: 18 October 1995
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html
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Cites Work
Cited In (11)
- Title not available (Why is that?)
- A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
- Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
- Stochastic equity volatility and the capital structure of the firm
- Leverage as a predictor for real activity and volatility
- The risk-shifting effect and the value of a warrant
- On leverage in a stochastic volatility model
- Leverage causes fat tails and clustered volatility
- Black-Scholes approximation of warrant prices: slight return in a low interest rate environment
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
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