Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

M Asai, Michael McAleer

Research output: Contribution to journal › Article › Academic › peer-review

6 Citations (Scopus)

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@article{5c59ce22ab6c46818a502ca6e9e227af,

title = "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing",

author = "M Asai and Michael McAleer",

year = "2016",

doi = "10.1016/j.jeconom.2015.02.029",

language = "English",

volume = "187",

pages = "436--446",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

}