Stochastic equity volatility related to the leverage effect
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- Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
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Keywordscorporate finance; financial structure; leverage effect; option pricing; security valuation; stochastic; volatility; warrants; numerical methods;
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