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عمومی::
اثر اهرمی
The returns process also contains a jump component, which is cor- related with the jump innovations in volatility to accommo- date the so-called "leverage effect."
To accommodate the leverage effect in the stochastic volatil- ity model, we need a two-dimensional pure-jump Lévy process with linked individual processes.
The leverage effect is captured by specifying Lp1(t) as another Brownian motion correlated with those driving the factors of the volatility.
(b) jumps in price, and (c) the leverage effect.
Leverage Effect.
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