Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

DOI10.1080/13504869500000003zbMath1466.91369OpenAlexW2093407615MaRDI QIDQ4994397

Dan Galai, Michel Crouhy, Alain Bensoussan

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

zbMATH Keywords

stochastic volatilitynumerical methodsoption pricingleverage effectfinancial structurecorporate financewarrantssecurity valuation

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models

Cites Work

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• The Pricing of Options and Corporate Liabilities
• ARCH modeling in finance. A review of the theory and empirical evidence
• Stochastic equity volatility and the capital structure of the firm
• Stochastic equity volatility related to the leverage effect
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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