Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Email: m-asai@soka.ac.jp
Author-Person: pas73 
Author-Workplace-Name: Faculty of Economics Soka University, Japan and Wharton School University of Pennsylvania
Author-Workplace-Homepage: https://www.soka.ac.jp/economics/
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing
Abstract: The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process
	which accommodates leverage, feedback efects and multifactor for the covariance process. The paper gives the 
	closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper 
	also suggests estimating the AMWSV model by the generalized method of moments using information not only of 
	stock prices but also of realized volatilities and covolatilities. The empirical results for the bivariate 
	data of the NASDAQ 100 and S&P 500 indices show that the general AMWSV model is preferred among several 
	nested models. 
Classification-JEL: C32, C51, G13.
Keywords: Multivariate Stochastic Volatility; Wishart Process; Leverage Eects; Feedback Effects; Multifactor Model; 
	Option Pricing.
Note: The authors are most grateful to Yoshi Baba and Christian Hafner for very helpful comments and suggestions.
The first author acknowledges the financial support of the Japan Ministry of Education, Culture, Sports, Science
and Technology, Japan Society for the Promotion of Science, and Australian Academy of Science. The second
author is most grateful for the financial support of the Australian Research Council, National Science Council,
Taiwan, and the Japan Society for the Promotion of Science. Address for correspondence: Faculty of Economics,
Soka University, 1-236 Tangi-cho, Hachioji, Tokyo 192-8577, Japan.
Length: 31 pages 
Creation-Date: 2013
Number: 2013-02 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1302.txt
File-URL: https://eprints.ucm.es/id/eprint/17700/1/1302.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1302