Pricing of European call options using generalized Wishart processes
This study explores a multiple-security, high-risk pricing model where the implied volatility has been portrayed through Generalized Wishart affine processes. The presence of dual dependency matrices distinctively characterizes this multifaceted model. These matrices encapsulate the relationship between the generalized Wishart processes and the evolving dynamics of several securities. The adaptability of the proposed model makes it a perfect fit for high-frequency market data, whether dealing with either long or short-term maturities of calls. The main objective paper is on its derivation and addressing the call option pricing problem within the context of the volatility mode using generalized. Wishart stochastic. A combination of Fourier transforms techniques and perturbation methods are utilized, mainly focusing on pricing European call options. The model proposed in this study is theoretical and practical, showcasing the strong potential for real-world applications within the financial derivative market.