Ch 6. Option Pricing When Volatility is Non-Constant
Stock price ", leverage ratio #, volatility #, which make the stock price further rise. (iii) The volatility should follow an asymmetric GARCH or stochastic process to re ect the countercyclical variation of the volatility, i.e., when the stock price rises (declines), it ... SS tSt tStt tt t t tt2 VV ,, ... ................
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