Article (Journal/Review)
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
Fecha
2014Registro en:
1593-8883
10.1007/s10203-012-0136-4
2-s2.0-84908087656
Autor
Fajardo, José
Institución
Resumen
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.