Derivative Pricing With Wishart Multivariate Stochastic Volatility
研究了多个标的资产服从Wishart随机波动率矩阵的衍生品定价，得到条件拉普拉斯变换的闭式解和准显式定价公式，并给出了多资产Heston模型和信用风险模型的例子。
This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic volatility matrix. This multivariate stochastic volatility model leads to a closed-form solution for the conditional Laplace transform, and quasi-explicit solutions for derivative prices written on more than one asset or underlying factor. Two examples are presented: (i) a multiasset extension of the stochastic volatility model introduced by Heston (1993), and (ii) a model for credit risk analysis that extends the model of Merton (1974) to a framework with stochastic firm liability, stochastic volatility, and several firms. A bivariate version of the stochastic volatility model is estimated using stock prices and moment conditions derived from the joint unconditional Laplace transform of the stock returns.