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

José Fajardo

doi:10.1007/s10203-012-0136-4

Decisions in Economics and Finance

October 2014, Volume 37, Issue 2, pp 319–327

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

Authors
Authors and affiliations

José FajardoEmail author

Article

First Online:: 18 September 2012

Received:: 09 December 2011
Accepted:: 29 August 2012

DOI: 10.1007/s10203-012-0136-4

Cite this article as:: Fajardo, J. Decisions Econ Finan (2014) 37: 319. doi:10.1007/s10203-012-0136-4

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.

Keywords

Barndorff-Nielsen and Shephard Model Symmetry Bates’s rule Ornstein–Uhlenbeck process

JEL Classification

C52 G10

References

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José Fajardo
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1.Brazilian School of Public and Business AdministrationGetulio Vargas FoundationRio de JaneiroBrazil

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

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