A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA

DOI10.1142/S0219024919500171zbMath1411.91645arXiv1712.08329WikidataQ128087947 ScholiaQ128087947MaRDI QIDQ5384680

Antoine Lejay, Paolo Pigato

Publication date: 24 June 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.08329

zbMATH Keywords

mean-reversionleverage effectrealized volatilityparametric estimationstock price modelthreshold diffusionregime-switch

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (9)

Bayesian inference for fractional oscillating Brownian motion ⋮ Multilayer heat equations and their solutions via oscillating integral transforms ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ Random tree Besov priors -- towards fractal imaging ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Statistical estimation of the oscillating Brownian motion ⋮ Extreme at-the-money skew in a local volatility model ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

Uses Software

• sde

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