The reactive volatility model

Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu

Quantitative Finance, 2013, vol. 13, issue 11, 1697-1706

Date: 2013
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Working Paper: The Reactive Volatility Model (2013)
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DOI: 10.1080/14697688.2013.797594

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