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Data and methods for 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
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https://hal.inria.fr/hal-01668975
Contributor : Antoine Lejay <>
Submitted on : Sunday, January 14, 2018 - 12:21:13 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM

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  • HAL Id : hal-01668975, version 2

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Antoine Lejay, Paolo Pigato. Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. [Technical Report] RT-0494, Inria Nancy - Grand Est; Weierstrass Institute. 2017. ⟨hal-01668975v2⟩

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