Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing
In this paper, we prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in [C. Gourieroux and R. Sufana (2010), J. Bus. Econom. Statist., 28, pp. 438--451], where the volatility matrix is modeled by a Wishart process. This class extends the very popular Heston …