The waterline tree for separable local-volatility models

DOI10.1016/J.CAMWA.2016.12.008zbMATH Open1405.91639OpenAlexW2577025883MaRDI QIDQ2013448FDOQ2013448

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

Recommendations

• Implied non-recombining trees and calibration for the volatility smile
• Lattice approach and implied trees
• ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Numerics of Implied Binomial Trees

zbMATH Keywords

option pricingfixed-point analysisimplied treeseparable local-volatility modelwaterline tree

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A Jump-Diffusion Model for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Title not available (Why is that?)
• Title not available (Why is that?)
• Semiparametric modeling of implied volatility.
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• Financial engineering and computation. Principles, mathematics, algorithms
• Option pricing: A simplified approach
• The Market Model of Interest Rate Dynamics
• Mathematical models of financial derivatives
• American option pricing with imprecise risk-neutral probabilities
• On the no-arbitrage condition in option implied trees
• IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Valuing foreign exchange rate derivatives with a bounded exchange process
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• On the construction and complexity of the bivariate lattice with stochastic interest rate models
• On accurate and provably efficient GARCH option pricing algorithms
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
• Implied non-recombining trees and calibration for the volatility smile

Cited In (2)

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

This page was built for publication: The waterline tree for separable local-volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013448)