A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS

DOI10.1142/S0219024902001596zbMath1107.91343arXivcond-mat/0111334OpenAlexW2038465616MaRDI QIDQ3022062

Josep Perelló, Jaume Masoliver

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0111334

zbMATH Keywords

skewnessmean reversionfat tails

Mathematics Subject Classification ID

Related Items (12)

Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns ⋮ Combined multiplicative-Heston model for stochastic volatility ⋮ Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation ⋮ A generalized Fourier transform approach to risk measures ⋮ MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS ⋮ The skewed multifractal random walk with applications to option smiles ⋮ Leveraged Lévy processes as models for stock prices ⋮ OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL ⋮ Option pricing and hedging with minimum local expected shortfall ⋮ The probability distribution of returns in the exponential Ornstein–Uhlenbeck model ⋮ Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model ⋮ Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

This page was built for publication: A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS