A correlated stochastic volatility model measuring leverage and other stylized facts

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dc.creatorPerello, Josep
dc.creatorMasoliver, Jaume
dc.date2001-11-19
dc.date.accessioned2026-07-07T07:36:44Z
dc.date.available2026-07-07T07:36:44Z
dc.descriptionWe 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.
dc.description22 pages, 2 figures and 2 tables
dc.identifierhttps://arxiv.org/abs/cond-mat/0111334
dc.identifierhttp://arxiv.org/abs/cond-mat/0111334
dc.identifierInternational Journal of Theoretical and Applied Finance 5, 541-562 (2002)
dc.identifierdoi:10.1142/S0219024902001596
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/120529
dc.subjectCondensed Matter
dc.subjectPhysics and Society
dc.titleA correlated stochastic volatility model measuring leverage and other stylized facts
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