Kanniainen, Juho; Piché, Robert - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 4, pp. 722-740
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the...
