Stochastic equity volatility related to the leverage effect

DOI10.1080/13504869400000004zbMath0831.90007OpenAlexW1598592179MaRDI QIDQ4845150

Dan Galai, Michel Crouhy, 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 pricingBlack-Scholes modelleverage effectequity volatilitycorporate finance

Mathematics Subject Classification ID

Related Items (4)

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models ⋮ A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES ⋮ The risk-shifting effect and the value of a warrant ⋮ Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence

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