Stochastic volatility and stochastic leverage

Almut Veraart and Luitgard Veraart

Annals of Finance, 2012, vol. 8, issue 2, 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)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10436-010-0157-3 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Stochastic volatility and stochastic leverage (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10436/PS2

DOI: 10.1007/s10436-010-0157-3

Access Statistics for this article

Annals of Finance is currently edited by Anne Villamil

More articles in Annals of Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().