This study deals with a single risky asset pricing model whose volatility is described by Wishart affine processes. This multifactor model with two dependency matrices describing the correlation between the asset dynamic and Wishart processes makes it more flexible enough to fit the market data for short or long maturities. The aim of the study is to derive and solve the call option pricing problem under the double Wishart stochastic volatility model. The Fourier transform techniques combined with perturbation methods are employed in order to price the European call options. The numerical illustrations on pricing predictions show similar behavior of price movements under the double Wishart model with respect to the market price.

中文翻译：

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Wishart 流程下的欧式期权定价

本研究涉及单一风险资产定价模型，其波动性由 Wishart 仿射过程描述。这种具有两个依赖矩阵的多因素模型描述了资产动态和 Wishart 过程之间的相关性，使其更加灵活，可以适应短期或长期期限的市场数据。本研究的目的是推导出并解决双 Wishart 随机波动率模型下的看涨期权定价问题。傅里叶变换技术与微扰方法相结合，用于为欧式看涨期权定价。价格预测的数值插图显示了双 Wishart 模型下价格变动相对于市场价格的类似行为。