Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants
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Publication:4994397
DOI10.1080/13504869500000003zbMath1466.91369MaRDI QIDQ4994397
Alain Bensoussan, Michel Crouhy, Dan Galai
Publication date: 18 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504869500000003
stochastic volatility; numerical methods; option pricing; leverage effect; financial structure; corporate finance; warrants; security valuation
91G50: Corporate finance (dividends, real options, etc.)