The reactive volatility model

Sébastien Valeyre, Denis Grebenkov (), Sofiane Aboura and Qian Liu
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Denis Grebenkov: X - École polytechnique - IP Paris - Institut Polytechnique de Paris
Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and price relations known as Constant Elasticity of Variance Model (CEV) was developed by Cox.

Keywords: Volatilité (finances); Modèles mathématiques; Marché financier (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

Published in Quantitative Finance, 2013, 13 (11), pp.1697-1706. ⟨10.1080/14697688.2013.797594⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01531278

DOI: 10.1080/14697688.2013.797594

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