Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5a7, 2000 Michael Kohlmann, Tang ... The second Brownian motion (Z) is correlated with the Brownian motion (W) driving the asset price equation. ... It is often found from financial data that p alt; 0, and there are economic arguments for a negative correlation or leverage effect between stock price and volatility shocks.
|Author||:||Michael Kohlmann, Tang Shanjian|
|Publisher||:||Birkhäuser - 2012-12-06|