Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
نویسندگان
چکیده
منابع مشابه
Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
Abstract The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2007
ISSN: 0378-4371
DOI: 10.1016/j.physa.2007.02.050