Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718)
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scientific article; zbMATH DE number 6443572
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| English | Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing |
scientific article; zbMATH DE number 6443572 |
Statements
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (English)
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8 June 2015
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multivariate stochastic volatility
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Wishart process
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leverage effects
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feedback effects
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multifactor model
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option pricing
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0.8014687895774841
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0.7907321453094482
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0.777336061000824
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0.7748172879219055
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0.7685169577598572
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