Stochastic volatility and leverage effect
统计力学
2008-12-02 v1 物理与社会
统计金融
摘要
We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.
关键词
引用
@article{arxiv.cond-mat/0202203,
title = {Stochastic volatility and leverage effect},
author = {Josep Perello and Jaume Masoliver},
journal= {arXiv preprint arXiv:cond-mat/0202203},
year = {2008}
}
备注
4 pages, 2 figures