Computation Of Volatility In Stochastic Volatility Models With High Frequency Data
AbstractWe consider general stochastic volatility models driven by continuous Brownian semimartingales, we show that the volatility of the variance and the leverage component (covariance between the asset price and the variance) can be reconstructed pathwise by exploiting Fourier analysis from the observation of the asset price. Specifying parametrically the asset price model we show that the method allows us to compute the parameters of the model. We provide a Monte Carlo experiment to recover the volatility and correlation parameters of the Heston model.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 13 (2010)
Issue (Month): 05 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- Imma Valentina Curato, 2013. "Fourier estimation of stochastic leverage using high frequency data," DiMaD Working Papers 2013-04, Dipartimento di Matematica per le Decisioni, Universita' degli Studi di Firenze.
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