Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
Carregando...
Arquivos
Data
2014
Autores
Orientador(res)
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth OU–SV. In particular, we address the non-Gaussian OU–SV model proposed by Barndorff-Nielsen and Shephard (J R Stat Soc B 63(Part 2):167–241, 2001). Also, we prove the Bates’ rule for these models.