Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models

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 Ba...

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Veröffentlicht in:	Decisions in economics and finance 2014-10, Vol.37 (2), p.319-327
1. Verfasser:	Fajardo, José
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Econometrics Economic models Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Hedging Management Operations Research/Decision Theory Public Finance Securities prices Stochastic models Stock prices Studies Symmetry Volatility
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Zusammenfassung:	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.
ISSN:	1593-8883 1129-6569
DOI:	10.1007/s10203-012-0136-4