A comparison between several correlated stochastic volatility models
Statistical Mechanics
2009-11-10 v1 Physics and Society
Statistical Finance
Abstract
We compare the most common SV models such as the Ornstein-Uhlenbeck (OU), the Heston and the exponential OU (expOU) models. We try to decide which is the most appropriate one by studying their volatility autocorrelation and leverage effect, and thus outline the limitations of each model. We add empirical research on market indices confirming the universality of the leverage and volatility correlations.
Cite
@article{arxiv.cond-mat/0312121,
title = {A comparison between several correlated stochastic volatility models},
author = {Josep Perello and Jaume Masoliver and Napoleon Anento},
journal= {arXiv preprint arXiv:cond-mat/0312121},
year = {2009}
}
Comments
4 pages, 2 figures, APFA 4 conferences contribution (13-15 november, 2003, Warsaw)