This paper extends to the multiasset framework the closed-form solution for options with stochastic volatility derived in Heston (1993) and Ball and Roma (1994). This extension introduces a risk premium in the return equation and considers Wishart dynamics for the process of the stochastic...

This paper reveals that the class of affine term structure models introduced by Duffie and Kan (1996) is much larger than it has been usually considered in the literature. We study fundamental risk factors, which represent multivariate risk aversion of the consumer or the volatility matrix of...

This paper reveals that the class of Affine Term Structure Models (ATSMs) introduced by Duffie and Kan (1996) is larger than previously considered in the literature. In the framework of risk factors following a Wishart autoregressive process, we define the Wishart Term Structure Model (WTSM) as...

Dai and Singleton (2000) introduced a typology of affine diffusion models when the domain of admissible values of the factors is an intersection of half planes and under some additional constraints on the parameters. This condition on the domain and the additional sufficient constraints are...