The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
type: Item
instance of: scholarly article
title: The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
zbMATH Open document ID: 1486.65011
DOI: 10.1155/2021/4050722
author: Raphael Naryongo
author: Philip Ngare
author: Anthony Waititu
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2022-01-19T00:00:00Z
review text: Summary: This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexible enough to describe the market prices for short or long maturities. The aim of the study is to derive the log-asset returns dynamic under the double Wishart stochastic volatility model. The corrected Euler-Maruyama discretization technique is applied in order to obtain the numerical solution of the log-asset return dynamic under Bi-Wishart processes. The numerical examples show the effect of the model parameters on the asset returns under the double Wishart volatility model.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7459472
zbMATH Keywords: volatility
zbMATH Keywords: bi-Wishart processes
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/4050722
OpenAlex ID: W3217583608
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description: scientific article; zbMATH DE number 7459472