Stochastic equity volatility related to the leverage effect
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504869400000004
Reference12 articles.
1. Bensoussan, A., Crouhy, M. and Galai, D. (1993). Black-Scholes approximation of complex option values: the cases of European compound call options and equity warrant. Working paper, HEC School of Management.
2. The Pricing of Options and Corporate Liabilities
3. ARCH modeling in finance
4. Crouhy, M. and Galai, D. (1994). The interaction between the financial and investment decisions of the firm: the case of issuing warrants in a levered firm. Journal of Banking and Finance. To appear.
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