A THRESHOLD MODEL for LOCAL VOLATILITY: EVIDENCE of LEVERAGE and MEAN REVERSION EFFECTS on HISTORICAL DATA

A THRESHOLD MODEL for LOCAL VOLATILITY: EVIDENCE of LEVERAGE and MEAN REVERSION EFFECTS on HISTORICAL DATA

Lejay, A.
international journal of theoretical and applied finance 2019 Vol. 22 pp. 0-0
227
lejay2019ainternational

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