On moment non-explosions for Wishart-based stochastic volatility models

DOI10.1016/j.ejor.2016.04.042zbMath1346.91229OpenAlexW3125403204MaRDI QIDQ323428

José Da Fonseca

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.042

zbMATH Keywords

pricingmoment non-explosionsWishart affine stochastic correlation modelWishart multidimensional stochastic volatility model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Delay feedback stabilisation of stochastic differential equations driven by G-Brownian motion ⋮ \(p\)th moment stability of discrete-time Markov jump systems by extended system method ⋮ EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE ⋮ Small-Time smile for the multifactor volatility heston model ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Explosion time for some Laplace transforms of the Wishart process ⋮ Stabilization of hybrid stochastic systems in the presence of asynchronous switching and input delay ⋮ Stabilisation of nonlinear hybrid stochastic systems with time-varying delay by discrete-time feedback controls with a time delay

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