, Volume 37, Issue 2, pp 319-327
Date: 18 Sep 2012

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

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Abstract

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.

I would like to thank the anonymous referee for very helpful comments, Ole Barndorff-Nielsen and seminar participants at CREATES-University of Aarhus for comments, also CNPq for financial support. The usual disclaimer applies.