摘要翻译：
本文提出了一个具有杠杆作用的多元随机波动率模型，该模型具有足够的灵活性，可以重新捕捉个体的动态以及几种资产之间的相互依赖关系，同时仍具有高度的解析可处理性。首先，我们导出了特征函数，并给出了它在零点附近开复条中的解析性和绝对可积性的条件。因此，利用傅立叶方法可以有效地计算多资产期权的价格。为了表明我们的结果的适用性，我们提出了一个具体的规范，OU-Wishart模型，其中每个单独资产的动态与流行的Gamma-OU BNS模型一致。该模型可以很好地校准市场价格，我们用一个使用一些主要货币汇率期权的例子来说明这一点。最后，我们证明了协方差互换也可以以封闭形式定价。
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英文标题：
《Option Pricing in Multivariate Stochastic Volatility Models of OU Type》
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作者：
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable.   First we derive the characteristic function and give conditions that ensure its analyticity and absolute integrability in some open complex strip around zero. Therefore we can use Fourier methods to compute the prices of multi-asset options efficiently. To show the applicability of our results, we propose a concrete specification, the OU-Wishart model, where the dynamics of each individual asset coincide with the popular Gamma-OU BNS model. This model can be well calibrated to market prices, which we illustrate with an example using options on the exchange rates of some major currencies. Finally, we show that covariance swaps can also be priced in closed form.
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PDF链接：
https://arxiv.org/pdf/1001.3223