A correlated stochastic volatility model measuring leverage and other stylized facts

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We present a stochastic volatility market model where volatility is correlated with return and is represented by an Ornstein-Uhlenbeck process. With this model we exactly measure the leverage effect and other stylized facts, such as mean reversion, leptokurtosis and negative skewness. We also obtain a close analytical expression for the characteristic function and study the heavy tails of the probability distribution.
22 pages, 2 figures and 2 tables

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Condensed Matter, Physics and Society

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http://salesiana.dossiersoluciones.com/handle/123456789/120529

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0111334
 http://arxiv.org/abs/cond-mat/0111334
 International Journal of Theoretical and Applied Finance 5, 541-562 (2002)
 doi:10.1142/S0219024902001596

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arXiv