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~institution:"Tinbergen Instituut"
~person:"Asai, Manabu"
~subject:"Wishart Process"
~subject:"judgmental adjustment"
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Wishart Process
judgmental adjustment
Feedback Effects
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Leverage Effects
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Multifactor Model
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Multivariate Stochastic Volatility
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Option Pricing
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Asai, Manabu
Franses, Philip Hans
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Legerstee, Rianne
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McAleer, Michael
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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 …
Persistent link: https://www.econbiz.de/10011256372
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