The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes
This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexibl...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2021/4050722 |
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| _version_ | 1832565307537883136 |
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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 article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexible enough to describe the market prices for short or long maturities. The aim of the study is to derive the log-asset returns dynamic under the double Wishart stochastic volatility model. The corrected Euler–Maruyama discretization technique is applied in order to obtain the numerical solution of the log-asset return dynamic under Bi-Wishart processes. The numerical examples show the effect of the model parameters on the asset returns under the double Wishart volatility model. |
| format | Article |
| id | doaj-art-6e10a82b423b48bda2394cd0fb939596 |
| institution | Kabale University |
| issn | 1687-0425 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-6e10a82b423b48bda2394cd0fb9395962025-02-03T01:08:47ZengWileyInternational Journal of Mathematics and Mathematical Sciences1687-04252021-01-01202110.1155/2021/4050722The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart ProcessesRaphael Naryongo0Philip Ngare1Anthony Waititu2Department of Statistics and Actuarial ScienceSchool of MathematicsDepartment of Statistics and Actuarial ScienceThis article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexible enough to describe the market prices for short or long maturities. The aim of the study is to derive the log-asset returns dynamic under the double Wishart stochastic volatility model. The corrected Euler–Maruyama discretization technique is applied in order to obtain the numerical solution of the log-asset return dynamic under Bi-Wishart processes. The numerical examples show the effect of the model parameters on the asset returns under the double Wishart volatility model.http://dx.doi.org/10.1155/2021/4050722 |
| spellingShingle | Raphael Naryongo Philip Ngare Anthony Waititu The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes International Journal of Mathematics and Mathematical Sciences |
| title | The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes |
| title_full | The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes |
| title_fullStr | The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes |
| title_full_unstemmed | The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes |
| title_short | The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes |
| title_sort | log asset dynamic with euler maruyama scheme under wishart processes |
| url | http://dx.doi.org/10.1155/2021/4050722 |
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