A Unified Tree Approach For Options Pricing Under Stochastic Volatility Models

We develop a simple and efficient tree approach for pricing options under stochastic volatility. Our method encompasses the models of Heston, Hull-White, Stein-Stein, α-Hypergeometric, 3/2 and 4/2 models. Numerical results are provided to illustrate the effectiveness of the proposed method

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Year of publication:	2022
Authors:	Lo, Chia ; Nguyen, Duy ; Skindilias, Konstantinos
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 20, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 20, 2016 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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