Stochastic Volatility Models with Jumps - Computational Methods for Quantitative Finance - page 243

Fig. 15.3 To p : Convergence
rate of price u(ρ 0 ) and
sensitivity u(δρ) for
IG( a,b )-OU BNS model.
Bottom : Computed sensitivity
u(δρ) for IG( a,b )-OU
More recent works consider multivariate stochastic volatility models, where the
SV models for one underlying are extended to d> 1 assets. In such models, the
matrix Σ in (8.1) is defined, for example, as the solution of a matrix-valued SDE
both without and with jumps. We refer to, e.g. Cuchiero et al. [48], Dimitroff et al.
[58], Muhle-Karbe et al. [127] and the references therein.