The waterline tree for separable local-volatility models

DOI10.1016/j.camwa.2016.12.008zbMath1405.91639OpenAlexW2577025883MaRDI QIDQ2013448

U Hou Lok, Yuh-Dauh Lyuu

Publication date: 18 August 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.12.008

zbMATH Keywords

option pricingfixed-point analysisimplied treeseparable local-volatility modelwaterline tree

Mathematics Subject Classification ID

Trees (05C05) Derivative securities (option pricing, hedging, etc.) (91G20) Fixed points and periodic points of dynamical systems; fixed-point index theory; local dynamics (37C25)

Related Items (2)

Entropy binomial tree method and calibration for the volatility smile ⋮ An alternative tree method for calibration of the local volatility

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