Derivative evaluation using recombining trees under stochastic volatility

zbMATH Open1221.91048MaRDI QIDQ3010733FDOQ3010733

Authors: Enrico Moretto, Sara Pasquali, Barbara Trivellato 

Publication date: 27 June 2011

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zbMATH Keywords

exotic option pricingstochastic volatilityrecombining trees

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (8)

• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
• Deformed exponentials and applications to finance
• Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
• Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
• Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility
• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
• A recombining tree method for option pricing with state-dependent switching rates
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

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