The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes
This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes. The multifactor volatility specification enables this model to be flexibl...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2021/4050722 |
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