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~institution:"Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia"
~institution:"Tinbergen Instituut"
~person:"McAleer, Michael"
~subject:"Multifactor Model"
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Multifactor Model
Feedback Effects
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Leverage Effects
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Multivariate Stochastic Volatility
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Option Pricing
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Wishart Process
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McAleer, Michael
Asai, Manabu
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Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia
Tinbergen Instituut
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institute of Economic Research, Kyoto University
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Leverage and
Feedback
Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
accommodates leverage,
feedback
effects and multifactor for the covariance process. The paper gives the closed-form solution for …
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