Derivative evaluation using recombining trees under stochastic volatility

MaRDI QIDQ3010733zbMATH OpenFDO

Authors Enrico Moretto, Sara Pasquali, Barbara Trivellato

Publication date 27 June 2011

zbMATH Keywords

exotic option pricingstochastic volatilityrecombining trees

Mathematics Subject Classification ID

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

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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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