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