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 Barndorff-Nielsen and Shephard (J R Stat Soc B 63(Part 2):167–241, 2001 ). Also, we prove the Bates’ rule for these models. Copyright Springer-Verlag 2014
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Volume (Year): 37 (2014)
Issue (Month): 2 (October)
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