On dependence of volatility on return for stochastic volatility models

Author: Martynov Mikhail   Rozanova Olga  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.85, Iss.5, 2013-10, pp. : 917-927

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Abstract