Decisions in Economics and Finance

, Volume 37, Issue 2, pp 319–327 | Cite as

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

Article

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 

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Copyright information

© Springer-Verlag 2012

Authors and Affiliations

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

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