TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41447
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...
LA  - eng
KW  - Multivariate Stochastic Volatility
KW  - Wishart Process
KW  - Leverage Eects
KW  - Feedback Effects
KW  - Multifactor Model
KW  - Option Pricing.
TI  - Leverage and Feedback Eects on Multifactor WishartStochastic Volatility for Option Pricing
TY  - technical report
VL  - 2013
ER  -