Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142275 | Operations Research Letters | 2015 | 7 Pages |
Abstract
This paper provides the pricing for a new class of derivatives with different affine stochastic volatility models. These products are characterized by payoffs depending on both stock and its volatility. We provide closed-form solutions for different products and two multivariate Wishart-based stochastic volatility models. The methodology is independent of the dimension of the problem. Overall, our results highlight the great flexibility and tractability of Wishart-based stochastic volatility models to develop multivariate extensions of the Heston model.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli,