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~institution:"Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia"
~institution:"Tinbergen Instituut"
~subject:"Leverage Effects"
~subject:"Multifactor Model"
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Leverage Effects
Multifactor Model
asynchronous horizon
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resource extraction
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Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia
Tinbergen Instituut
Department of Economics and Related Studies, University of York
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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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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