Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data - Archive ouverte HAL Access content directly
Reports (Technical Report) Year : 2017

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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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. This report completes the article "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"
Ce rapport technique présente la méthodologie et les résultats numériques pour les prix de 21 actifs boursiers sous l’hypothèse qu’ils se comportent comme un mouvement brownien oscillant avec dérive. Un tel modèle prend en compte les effets de levier et de retour à la moyenne. Ce rapport complète l’article A threshold model for local volatility: evidence of leverage and meanreversion effects on historical data.
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Dates and versions

hal-01668975 , version 1 (20-12-2017)
hal-01668975 , version 2 (14-01-2018)
hal-01668975 , version 3 (13-02-2018)

Identifiers

  • HAL Id : hal-01668975 , version 3

Cite

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, pp.1-24. ⟨hal-01668975v3⟩
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