• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times

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