European Option Pricing under Wishart Processes

Autor: Raphael Naryongo, Philip Ngare, Anthony Waititu
Jazyk: angličtina
Rok vydání: 2021
Předmět:
Zdroj: Journal of Mathematics, Vol 2021 (2021)
Druh dokumentu: article
ISSN: 2314-4629
2314-4785
DOI: 10.1155/2021/7411885
Popis: This study deals with a single risky asset pricing model whose volatility is described by Wishart affine processes. This multifactor model with two dependency matrices describing the correlation between the asset dynamic and Wishart processes makes it more flexible enough to fit the market data for short or long maturities. The aim of the study is to derive and solve the call option pricing problem under the double Wishart stochastic volatility model. The Fourier transform techniques combined with perturbation methods are employed in order to price the European call options. The numerical illustrations on pricing predictions show similar behavior of price movements under the double Wishart model with respect to the market price.
Databáze: Directory of Open Access Journals
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