Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing

Aurélien Alfonsi, David Krief, Peter Tankov

We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3)…