Les documents de travail ne reflètent pas la position de l'INSEE et n'engagent que leurs auteurs. Working papers do not reflect the position of INSEE but only the views of the authors. Abstract This paper extends to the multiasset framework the closed-form solution for options with stochastic volatility derived in Heston (1993) and Ball and Roma (1994) . This extension introduces a risk premium in the return equation and considers Wishart dynamics for the process of the stochastic volatility

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... rix, which is the multiasset analogue of the model of Cox, Ingersoll, and Ross (1985) . This approach is used to extend Merton's model (Merton (1974) ) for corporate default to a framework with stochastic liability, stochastic volatility and several firms. We thank D. Duffie and M. Grasselli for helpful comments.