A Correlated Stochastic Volatility Model Measuring Leverage and Other Stylized Facts
نویسنده
چکیده
We present a stochastic volatility market model where volatility is correlated with return and is represented by an Ornstein-Uhlenbeck process. With this model we exactly measure the leverage effect and other stylized facts, such as mean reversion, leptokurtosis and negative skewness. We also obtain a close analytical expression for the characteristic function and study the heavy tails of the probability distribution.
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تاریخ انتشار 2006