Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

We price for different affine stochastic volatility models some derivatives that recently appeared in the market. These products are characterized by payoffs depending on both stock and its volatility. We provide closed-form solution for different products and two multivariate Wishartbased stochastic volatility models. The methodology turns out to be independent of the dimension of the problem. Overall, our results highlight the great flexibility and tractability of Wishart-based stochastic volatility models to develop multivariate extensions of the Heston model.