On moment non-explosions for Wishart-based stochastic volatility models

José Da Fonseca

European Journal of Operational Research, 2016, vol. 254, issue 3, 889-894

Abstract: This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamics or a Wishart affine stochastic correlation dynamics when the parameter values satisfy certain constraints. By reformulating the stock dynamics in terms of the volatility path along with standard results on matrix Lyapunov and Riccati equations, a non-explosion result of the moment of order greater than one can be obtained. It extends to these frameworks a property well known for the Heston model.

Keywords: Pricing; Moment non-explosions; Wishart multidimensional stochastic volatility model; Wishart affine stochastic correlation model (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894

DOI: 10.1016/j.ejor.2016.04.042

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