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Stochastic volatility and leverage effect

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.
Year of publication:
2002-02
Authors: Perello, Josep ; Masoliver, Jaume
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Physical Review E 67, 037102 (2003)
Source:
Persistent link: https://www.econbiz.de/10005098803
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