Markov-Modulated and Shifted Wishart Processes with Applications in Derivatives Pricing
The popular Wishart (WI) processes, first introduced by Bru in 1991, exhibit convenient analytical properties for modeling asset prices, particularly a closed-form characteristic function, and the ability to jointly model stochastic volatility and correlation. These features tend to increase substan...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-05-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/13/2/91 |
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