Research

Multivariate asset price dynamics with stochastic covariation


Reference:

Williams, J. and Ioannidis, C., 2011. Multivariate asset price dynamics with stochastic covariation. Quantitative Finance, 11 (1), pp. 125-134.

Related documents:

This repository does not currently have the full-text of this item.
You may be able to access a copy if URLs are provided below. (Contact Author)

Official URL:

http://dx.doi.org/10.1080/14697680903419693

Abstract

Stochastic volatility models such as those of Heston [Rev. Financial Stud., 1993, 6(2), 327-343] and Hull and White [J. Finance, 1987, 42(2), 281-300] are often used to model volatility risk in the pricing and hedging of contingent claims on risky assets. Recent empirical evidence has shown that these models under general specifications often do not fully capture the volatility dynamics observed in situ. This paper provides an analytical demonstration of the consequences of multivariate stochastic covariation on the pricing of contingent claims and suggests a hedging strategy for full delta neutrality.

Details

Item Type Articles
CreatorsWilliams, J.and Ioannidis, C.
DOI10.1080/14697680903419693
Uncontrolled Keywordsapplied mathematical finance, asset pricing, empirical finance, empirical time series analysis
DepartmentsFaculty of Humanities & Social Sciences > Economics
RefereedYes
StatusPublished
ID Code22706

Export

Actions (login required)

View Item