Accelerated trinomial trees applied to American basket options and American options under the Bates model
Year of publication: |
June 2016
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Authors: | O'Sullivan, Conall ; O'Sullivan, Stephen |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 4, p. 29-72
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Subject: | derivatives pricing | trinomial trees | stochastic volatility | jump-diffusion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Derivat | Derivative |
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