The reactive volatility model

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@article{db6d9a7784a343eda65b34b663009416,

title = "The reactive volatility model",

author = "Sebastien Valeyre and Denis Grebenkov and Sofiane Aboura and Qian Liu",

year = "2013",

month = dec,

day = "19",

doi = "10.1080/14697688.2013.797594",

language = "English",

volume = "13",

pages = "1697--1706",

journal = "Quantitative Finance",

issn = "1469-7688",

number = "11",

}

TY - JOUR

T1 - The reactive volatility model

AU - Valeyre, Sebastien

AU - Grebenkov, Denis

AU - Aboura, Sofiane

AU - Liu, Qian

PY - 2013/12/19

Y1 - 2013/12/19

U2 - 10.1080/14697688.2013.797594

DO - 10.1080/14697688.2013.797594

M3 - Article

AN - SCOPUS:84890381358

SN - 1469-7688

VL - 13

SP - 1697

EP - 1706

JO - Quantitative Finance

JF - Quantitative Finance

IS - 11

ER -