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13-003/III - Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing


  • Authors
    Manabu Asai, Soka University, Japan; Michael McAleer, Erasmus University Rotterdam, The Netherlands; Kyoto University, Japan; Complutense University of Madrid, Spain
  • Publication date
    January 7, 2013
  • Keywords
    Multivariate Stochastic Volatility; Wishart Process; Leverage Effects; Feedback Effects; Multifactor Model; Option Pricing
  • JEL
    C32, C51, G13