Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A simple approach for pricing equity options with Markov switching state variables
- An Intertemporal Capital Asset Pricing Model
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- Option pricing: A simplified approach
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
Cited in
(24)- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- European option pricing under stochastic volatility jump-diffusion models with transaction cost
- Pricing mining concessions based on combined multinomial pricing model
- A recombining tree method for option pricing with state-dependent switching rates
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Nonlinear problems modeling stochastic volatility and transaction costs
- Derivative evaluation using recombining trees under stochastic volatility
- Sequential Monte Carlo methods for option pricing
- Regime-switching recombining tree for option pricing
- Numerical solutions for option pricing models including transaction costs and stochastic volatility
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
- Estimation and pricing under long-memory stochastic volatility
- Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
- A stochastic local volatility technique for TARN options
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
- A stochastic tree for bubble asset modelling and pricing
- Conditional expectation strategy under the long memory Heston stochastic volatility model
- Approximating stochastic volatility by recombinant trees
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models
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