Pricing volatility options via the lattice algorithm
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Publication:2935449
zbMATH Open1303.91178MaRDI QIDQ2935449FDOQ2935449
Authors: Fang-Run He, Shu-qiang Shan 
Publication date: 30 December 2014
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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
- LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
- Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
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