Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model

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dc.creatorMasoliver, Jaume
dc.creatorPerello, Josep
dc.date2005-01-26
dc.date.accessioned2026-07-07T12:07:04Z
dc.date.available2026-07-07T12:07:04Z
dc.descriptionWe study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the stationary volatility which are consistent with market observations. All these features make the model quite appealing since it appears to be more complete than other stochastic volatility models also based on a two-dimensional diffusion. We finally present an approximate solution for the return probability density designed to capture the kurtosis and skewness effects.
dc.description24 pages, 9 colored figures, Workshop Volatility of Financial Markets (Leiden 18-29 October 2004)
dc.identifierhttps://arxiv.org/abs/cond-mat/0501639
dc.identifierhttp://arxiv.org/abs/cond-mat/0501639
dc.identifierQuantitative Finance 6, 423-433 (2006)
dc.identifierdoi:10.1080/14697680600727547
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208846
dc.subjectOther Condensed Matter
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleMultiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
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