Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique

This paper provides the pricing for a new class of derivatives with different affine stochastic volatility models. These products are characterized by payoffs depending on both stock and its volatility. We provide closed-form solutions for different products and two multivariate Wishart-based stochastic volatility models. The methodology is independent of the dimension of the problem. Overall, our results highlight the great flexibility and tractability of Wishart-based stochastic volatility models to develop multivariate extensions of the Heston model