European option pricing under Wishart processes

DOI10.1155/2021/7411885zbMath1477.91055OpenAlexW3177994517MaRDI QIDQ2240201

Philip Ngare, Anthony Waititu, Raphael Naryongo

Publication date: 8 November 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/7411885

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The log-asset dynamic with Euler-Maruyama scheme under Wishart processes

Cites Work

• The Pricing of Options and Corporate Liabilities
• Wishart processes
• Stochastic calculus for finance. II: Continuous-time models.
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
• Affine diffusions and related processes: simulation, theory and applications
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• A multifactor volatility Heston model
• Singular Perturbations in Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Continuous Time Wishart Process for Stochastic Risk

This page was built for publication: European option pricing under Wishart processes