Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Year of publication: |
2013-01
|
---|---|
Authors: | Asai, Manabu ; McAleer, Michael |
Institutions: | Institute of Economic Research, Kyoto University |
Subject: | Multivariate Stochastic Volatility | Wishart Process | Leverage Eects | Feedback Effects | Multifactor Model | Option Pricing |
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
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