Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
نویسندگان
چکیده
منابع مشابه
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of m...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2015.02.029