Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models

DOI10.1007/s10203-012-0136-4zbMath1398.91582OpenAlexW2085460567MaRDI QIDQ2343101

José Fajardo

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-012-0136-4

zbMATH Keywords

symmetryOrnstein-Uhlenbeck processBarndorff-Nielsen and Shephard modelBates' rule

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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