Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3), 2010), where the volatility matrix is modelled by a Wishart process. This class extends the very popular Heston model to the multivariate setting, …