Stochastic volatility and leverage effect

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dc.creatorPerello, Josep
dc.creatorMasoliver, Jaume
dc.date2002-02-12
dc.date.accessioned2026-07-07T12:06:39Z
dc.date.available2026-07-07T12:06:39Z
dc.descriptionWe 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.
dc.description4 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0202203
dc.identifierhttp://arxiv.org/abs/cond-mat/0202203
dc.identifierPhysical Review E 67, 037102 (2003)
dc.identifierdoi:10.1103/PhysRevE.67.037102
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208714
dc.subjectStatistical Mechanics
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleStochastic volatility and leverage effect
dc.typetext

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