A new class of multidimensional Wishart-based hybrid models

DOI10.1007/S10203-021-00357-4zbMATH Open1492.91378OpenAlexW3206291291MaRDI QIDQ2145697FDOQ2145697

Authors: Gaetano La Bua, Daniele Marazzina 

Publication date: 17 June 2022

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

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

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zbMATH Keywords

calibrationhybrid modellocal volatilityWishart processmulti-assets

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications

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