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

DOI10.1142/S0219024917500285MaRDI QIDQ5281722zbMATH OpenFDO

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)

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)

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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
• A simple trinomial lattice approach for the skew-extended CIR models
• Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model

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