Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift

DOI10.1142/S0219024917500285zbMATH Open1396.91775MaRDI QIDQ5281722FDOQ5281722

Authors: Xiaoyang Zhuo, Olivier Menoukeu-Pamen 

Publication date: 26 July 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

discontinuous driftbinomial treetrinomial treeskew Vasicek model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

Cites Work

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• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
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• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• Asymmetric skew Bessel processes and their applications to finance
• Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
• A note on some new perpetuities
• Simulating a diffusion on a graph. Application to reservoir engineering
• Arbitrage in skew Brownian motion models
• A simple trinomial lattice approach for the skew-extended CIR models
• The valuation of options on foreign exchange rate in a target zone
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes

Cited In (5)

• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• A Markov chain approximation scheme for option pricing under skew diffusions
• A general framework to simulate diffusions with discontinuous coefficients and local times
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
• A simple trinomial lattice approach for the skew-extended CIR models

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