On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models PDF Download

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On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models

On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models PDF Author: José Da Fonseca
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Languages : en
Pages : 15

Book Description
This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamic or a Wishart affine stochastic correlation dynamic when the parameter values satisfy certain constraints. By reformulating the stock dynamic 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.
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