Stochastic volatility and leverage effect
Loading...
Date
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.
4 pages, 2 figures
4 pages, 2 figures