Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Antoine Lejay; Paolo Pigato

Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Données et méthodes pour "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"

Antoine Lejay ¹ Paolo Pigato ²

1 TOSCA - TO Simulate and CAlibrate stochastic models

CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502

2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

Abstract : This technical report presents the methodology and the numerical results for 21 stock prices under the assumption they follow a Drifted Geometric Oscillating Brownian motion model. Such a model takes leverage and mean-reversion effects into account. Ce rapport completes the article "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"

Keywords : Maximum likelihood mean-reversion leverage effect Financial Mathematics geometric Oscillating Brownian motion Realized volatility estimator

Document type :

Reports

Domain :

Mathematics [math] / Probability [math.PR]

Quantitative Finance [q-fin] / Computational Finance [q-fin.CP]

Quantitative Finance [q-fin] / Statistical Finance [q-fin.ST]

Complete list of metadatas

https://hal.inria.fr/hal-01668975
Contributor : Antoine Lejay <>
Submitted on : Sunday, January 14, 2018 - 12:21:13 PM
Last modification on : Wednesday, September 4, 2019 - 1:52:04 PM

RT-0494.pdf

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Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Données et méthodes pour "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"

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Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Données et méthodes pour "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"