European Option Pricing under Wishart Processes
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2021/7411885 |
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| _version_ | 1832546067946668032 |
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| author | Raphael Naryongo Philip Ngare Anthony Waititu |
| author_facet | Raphael Naryongo Philip Ngare Anthony Waititu |
| author_sort | Raphael Naryongo |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-83c8f382f1ab49b19cfad5d5b157dcec |
| institution | Kabale University |
| issn | 2314-4629 2314-4785 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Mathematics |
| spelling | doaj-art-83c8f382f1ab49b19cfad5d5b157dcec2025-02-03T07:24:01ZengWileyJournal of Mathematics2314-46292314-47852021-01-01202110.1155/2021/74118857411885European Option Pricing under Wishart ProcessesRaphael Naryongo0Philip Ngare1Anthony Waititu2Department of Statistics and Actuarial Science, Jomo Kenyatta University, Nairobi, KenyaSchool of Mathematics, University of Nairobi, Nairobi, KenyaDepartment of Statistics and Actuarial Science, Jomo Kenyatta University, Nairobi, KenyaThis 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.http://dx.doi.org/10.1155/2021/7411885 |
| spellingShingle | Raphael Naryongo Philip Ngare Anthony Waititu European Option Pricing under Wishart Processes Journal of Mathematics |
| title | European Option Pricing under Wishart Processes |
| title_full | European Option Pricing under Wishart Processes |
| title_fullStr | European Option Pricing under Wishart Processes |
| title_full_unstemmed | European Option Pricing under Wishart Processes |
| title_short | European Option Pricing under Wishart Processes |
| title_sort | european option pricing under wishart processes |
| url | http://dx.doi.org/10.1155/2021/7411885 |
| work_keys_str_mv | AT raphaelnaryongo europeanoptionpricingunderwishartprocesses AT philipngare europeanoptionpricingunderwishartprocesses AT anthonywaititu europeanoptionpricingunderwishartprocesses |