Stochastic volatility and stochastic leverage
Almut E. D. Veraart () and
Annals of Finance, 2012, vol. 8, issue 2, pages 205-233
Keywords: Stochastic volatility; Volatility of volatility; Stochastic correlation; Leverage effect; Jacobi process; Ornstein–Uhlenbeck process; Square root diffusion; Lévy process; Heston model; Barndorff-Nielsen & Shephard model; C1; C5; G0; G1 (search for similar items in EconPapers)
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Working Paper: Stochastic volatility and stochastic leverage (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233
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