Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework
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- Chulmin Kang & Wanmo Kang, 2013. "Exact Simulation of Wishart Multidimensional Stochastic Volatility Model," Papers 1309.0557, arXiv.org.
- Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda, 2014. "Smile with the Gaussian term structure model," Papers 1412.7412, arXiv.org, revised Nov 2015.
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KeywordsWishart processes; stochastic volatility models; stochastic; correlation; singular perturbation; asymptotic smile; Monte Carlo simulation;
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