Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009
leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically … explicitly,
e.g. by means of a linear transformation of a Jacobi process. Such models are both analyti-
cally tractable and allow … models.
Keywords Stochastic volatility · volatility of volatility · stochastic correlation · leverage effect
· Jacobi process …