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A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
LEJAY, ANTOINE, PIGATO, PAOLOVolume:
22
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024919500171
Date:
June, 2019
File:
PDF, 834 KB
english, 2019