RT Report
T1 Leverage and Feedback Eects on Multifactor WishartStochastic Volatility for Option Pricing
A1 Asai, Manabu
A1 McAleer, Michael
AB The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of moments using information not only of stock prices but also of realized volatilities and covolatilities. The empirical results for the bivariate data of the NASDAQ 100 and S&P 500 indices show that the general AMWSV model is preferred among several nested models.
YR 2013
FD 2013-01
LK https://hdl.handle.net/20.500.14352/41447
UL https://hdl.handle.net/20.500.14352/41447
LA eng
NO The authors are most grateful to Yoshi Baba and Christian Hafner for very helpful comments and suggestions.The rst author acknowledges the nancial support of the Japan Ministry of Education, Culture, Sports, Scienceand Technology, Japan Society for the Promotion of Science, and Australian Academy of Science. The secondauthor is most grateful for the nancial support of the Australian Research Council, National Science Council,Taiwan, and the Japan Society for the Promotion of Science. Address for correspondence: Faculty of Economics,Soka University, 1-236 Tangi-cho, Hachioji, Tokyo 192-8577, Japan.
DS Docta Complutense
RD 22 abr 2025