Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Manabu Asai; Michael McAleer
| Year of publication: |
2013
|
|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael |
| Publisher: |
Rotterdam |
| Subject: | Multivariate stochastic volatility | Wishart process | Leverage effects | Feedback effects | Multifactor model | Option pricing | asymmetric multifactor Wishart stochastic volatility (AMWSV) model | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | USA | United States |
freely available
| Extent: | Online-Ressource (31 S.) |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2013,003 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/87237 [Handle] |
| Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G13 - Contingent Pricing; Futures Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009724148