英文文献：Stochastic volatility and stochastic leverage-随机波动和随机杠杆
英文文献作者：Almut E. D. Veraart,Luitgard A. M. Veraart
英文文献摘要：
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new models.

本文在随机波动率模型中提出了随机杠杆的新概念。随机杠杆是指用一个随机过程代替经典的资产收益率与随机波动过程的常相关参数。我们提供了随机杠杆的系统处理，并提出模型的随机杠杆效应显式，例如，通过一个雅可比过程的线性变换。这些模型既便于分析，又允许直接的经济解释。特别地，我们提出了两个新的允许随机杠杆效应的随机波动模型:一般化的Heston模型和一般化的Barndorff-Nielsen & Shephard模型。我们研究随机杠杆效应在风险中性世界的影响，通过关注由我们的新模型得出的期权价格产生的隐含波动。此外，我们还详细说明了新模型的统计性质。