European option pricing under Wishart processes

DOI10.1155/2021/7411885zbMATH Open1477.91055OpenAlexW3177994517MaRDI QIDQ2240201FDOQ2240201

Philip Ngare, Anthony Waititu, Raphael Naryongo

Publication date: 8 November 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/7411885

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic calculus for finance. II: Continuous-time models.
• Singular Perturbations in Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Wishart processes
• A multifactor volatility Heston model
• Continuous Time Wishart Process for Stochastic Risk
• Affine diffusions and related processes: simulation, theory and applications
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model

Cited In (5)

• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• A Behavioural Approach to the Pricing of European Options
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
• Currency option pricing with Wishart process
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

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