Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

DOI10.1016/j.jeconom.2015.02.029zbMath1337.62316OpenAlexW2107406003MaRDI QIDQ2347718

Manabu Asai, Michael McAleer

Publication date: 8 June 2015

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

Full work available at URL: http://papers.tinbergen.nl/13003.pdf

zbMATH Keywords

option pricingmultifactor modelmultivariate stochastic volatilityWishart processfeedback effectsleverage effects

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

On moment non-explosions for Wishart-based stochastic volatility models ⋮ A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ A fractionally integrated Wishart stochastic volatility model ⋮ Econometric analysis of financial derivatives: an overview

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