Pricing volatility options via the lattice algorithm

MaRDI QIDQ2935449zbMATH OpenFDO

Authors Fang-Run He, Shu-qiang Shan

Publication date 30 December 2014

zbMATH Keywords

convergencelattice algorithmGARCH option modelvolatility option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(9)

• Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
• Pricing volatility index option in constant elasticity of variance model
• A lattice algorithm for pricing moving average barrier options
• Two-state volatility transition pricing and hedging of TXO options
• Option volatility and the acceleration Lagrangian
• American stochastic volatility call option pricing: a lattice based approach
• DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
• Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

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