A new class of multidimensional Wishart-based hybrid models

DOI10.1007/S10203-021-00357-4MaRDI QIDQ2145697zbMATH OpenOpenAlexFDO

Authors Gaetano La Bua, Daniele Marazzina

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10203-021-00357-4

zbMATH Keywords

calibrationhybrid modellocal volatilityWishart processmulti-assets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general valuation framework for SABR and stochastic local volatility models
• A multifactor volatility Heston model
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• Arbitrage-free SVI volatility surfaces
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
• Dynamics of implied volatility surfaces
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
• Option pricing when correlations are stochastic: an analytical framework
• Riding on the smiles
• The Heston stochastic-local volatility model: efficient Monte Carlo simulation
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

Cited in

(3)

• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

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