Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model
Published Online:3 Aug 2017https://doi.org/10.1287/opre.2017.1636
References
- (1992) The Fourier-series method for inverting transforms of probability distributions. Queueing Systems Theory Appl. 10(1–2):5–87.Crossref, Google Scholar
- (2013) Exact and high order discretization schemes for Wishart processes and their affine extensions. Ann. Appl. Probab. 23(3):1025–1073.Crossref, Google Scholar
- (1986) Algorithm 644: A portable package for Bessel functions of a complex argument and nonnegative order. ACM Trans. Math. Software 12(3, Sept.):265–273.Google Scholar
- (1996) Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Rev. Financ. Stud. 9(1):69–107.Crossref, Google Scholar
- (2000) Post-’87 crash fears in the S&P 500 futures option market. J. Econometrics 94(1–2):181–238.Crossref, Google Scholar
- (2008) Wishart stochastic volatility: Asymptotic smile and numerical framework. Preprint.Google Scholar
- (2006) Exact simulation of stochastic volatility and other affine jump diffusion processes. Oper. Res. 54(2):217–231.Link, Google Scholar
- (1991) Wishart processes. J. Theoret. Probab. 4(4):725–751.Crossref, Google Scholar
- (2007) Stochastic skew in currency options. J. Financial Econom. 86(1):213–247.Crossref, Google Scholar
- (1999) Option valuation using the fast Fourier transform. J. Computational Finance 2(4):61–73.Crossref, Google Scholar
- (2009) The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well. Management Sci. 55(12):1914–1932.Link, Google Scholar
- (2011) Affine processes on positive semidefinite matrices. Ann. Appl. Probab. 21(2):397–463.Crossref, Google Scholar
- (2011) Riding on the smiles. Quant. Finance 11(11):1609–1632.Crossref, Google Scholar
- (2008) A multifactor volatility Heston model. Quant. Finance 8(6):591–604.Crossref, Google Scholar
- (1980) A family of embedded Runge-Kutta formulae. J. Comput. Appl. Math. 6(1):19–26.Crossref, Google Scholar
- (2000) Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6):1343–1376.Crossref, Google Scholar
- (2010) Probability: Theory and Examples (Cambridge University Press, New York).Crossref, Google Scholar
- (2009) Term-Structure Models, Springer Finance (Springer, Berlin).Crossref, Google Scholar
- (2011) Prices expansion in the Wishart model. The IUP J. Computational Math. 4(1):44–71.Google Scholar
- (2012) Efficient simulation of the Wishart model. The IUP J. Computational Math. 5(1):14–58.Google Scholar
- (2004) Monte Carlo Methods in Financial Engineering, Volume 53 of Applications of Mathematics (New York), Stochastic Modelling and Applied Probability (Springer, New York).Google Scholar
- (1976) A canonical representation for the noncentral Wishart distribution useful for simulation. J. Amer. Statist. Assoc. 71(355):690–695.Crossref, Google Scholar
- (2010) Derivative pricing with Wishart multivariate stochastic volatility. J. Bus. Econom. Statist. 28(3):438–451.Crossref, Google Scholar
- (2000) Matrix Variate Distributions, Volume 104 of Chapman & Hall/CRC Monographs and Surveys in Pure and Applied Mathematics (Chapman & Hall/CRC, Boca Raton, FL).Google Scholar
- (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Stud. 6(2):327–343.Crossref, Google Scholar
- (2013) Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices. Stochastic Process. Appl. 123(6):2419–2445.Crossref, Google Scholar
- (2006) The efficient evaluation of the hypergeometric function of a matrix argument. Math. Comp. 75(254):833–846.Crossref, Google Scholar
- (1959) Bartlett decomposition and Wishart distribution. Ann. Math. Statist. 30(1):239–241.Crossref, Google Scholar
- (2008) Asset pricing with matrix jump diffusions. Preprint.Google Scholar
- (1982) Aspects of Multivariate Statistical Theory, Wiley Series in Probability and Mathematical Statistics (John Wiley & Sons, New York).Crossref, Google Scholar
- (2010) Efficient, almost exact simulation of the Heston stochastic volatility model. Internat. J. Theoret. Appl. Finance 13(01):1–43.Crossref, Google Scholar

