dc.contributor.author | Grasselli, Martino | de |
dc.contributor.author | Da Fonseca, Jose | de |
dc.contributor.author | Tebaldi, Claudio | de |
dc.date.accessioned | 2011-02-23T03:46:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:04Z | |
dc.date.available | 2012-08-29T23:07:04Z | |
dc.date.issued | 2008 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22112 | |
dc.description.abstract | We consider a model for a single risky asset whose volatility follows a multifactor (matrix)Wishart affine process, recently introduced in finance by Gourieroux and Sufana (2004). As in standard Duffie and Kan (1996) affine models the pricing problem can be solved through the Fast Fourier
Transform of Carr and Madan (1999). A numerical illustration shows that this specification provides a separate fit of the long term and short term implied volatility surface and, differently from previous diffusive stochastic volatility models, it is possible to identify a specific factor accounting for a stochastic leverage effect, a well known stylized fact of FX option markets
analyzed in Carr and Wu (2004). | en |
dc.language | en | |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Stochastic volatility; Financial derivatives; Volatility modelling; Options pricing; Options volatility | |
dc.title | A Multifactor Volatility Heston Model | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 8 | de |
dc.publisher.country | GBR | |
dc.source.issue | 6 | de |
dc.subject.classoz | Basic Research, General Concepts and History of Economics | en |
dc.subject.classoz | Economic Statistics, Econometrics, Business Informatics | en |
dc.subject.classoz | Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik | de |
dc.subject.classoz | Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221122 | de |
dc.date.modified | 2012-08-09T12:15:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 591-604 | |
internal.identifier.classoz | 10905 | |
internal.identifier.classoz | 10901 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680701668418 | de |
dc.subject.methods | Theorieanwendung | de |
dc.subject.methods | theory application | en |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 15 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_CHANGED | |