Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

@inproceedings{Asai2013LeverageAF,
  title={Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing},
  author={Manabu Asai and Michael McAleer},
  year={2013}
}
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… CONTINUE READING