Stochastic equity volatility related to the leverage effect

DOI10.1080/13504869400000004MaRDI QIDQ4845150zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingleverage effectBlack-Scholes modelequity volatilitycorporate finance

Mathematics Subject Classification ID

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Cites work

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• ARCH modeling in finance. A review of the theory and empirical evidence
• The pricing of options and corporate liabilities

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(11)

• scientific article; zbMATH DE number 1865385 (Why is no real title available?)
• 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
• On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
• Black-Scholes approximation of warrant prices: slight return in a low interest rate environment

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