European option pricing under Wishart processes

DOI10.1155/2021/7411885MaRDI QIDQ2240201zbMATH OpenOpenAlexFDO

Authors Raphael Naryongo, Philip Ngare, Anthony Waititu

Publication date 8 November 2021

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

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multifactor volatility Heston model
• Affine diffusions and related processes: simulation, theory and applications
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model
• Continuous Time Wishart Process for Stochastic Risk
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Singular Perturbations in Option Pricing
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Wishart processes

Cited in

(9)

• A new class of multidimensional Wishart-based hybrid models
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
• Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• A Behavioural Approach to the Pricing of European Options
• Currency option pricing with Wishart process
• Pricing range notes within Wishart affine models
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

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