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

Antoine Lejay 1, 2 Paolo Pigato 3
1 TOSCA - TO Simulate and CAlibrate stochastic models
CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502
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"
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https://hal.inria.fr/hal-01668975
Contributor : Antoine Lejay <>
Submitted on : Tuesday, February 13, 2018 - 6:25:42 PM
Last modification on : Thursday, February 7, 2019 - 4:18:25 PM

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  • HAL Id : hal-01668975, version 3

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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, pp.1-24. ⟨hal-01668975v3⟩

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