Derivative Pricing With Wishart Multivariate Stochastic Volatility
Wishart多变量随机波动率下的衍生品定价
This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of the stochastic volatility…