How much do negative probabilities matter in option pricing? : a case of a lattice-based approach for stochastic volatility models
Year of publication: |
2021
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Authors: | Tseng, Chung-Li ; Miao, Daniel Wei-Chung ; Chung, San-Lin ; Shih, Pai-Ta |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 6, Art.-No. 241, p. 1-32
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Subject: | finance | lattice feasibility | stochastic volatility | trinomial tree | two-factor model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14060241 [DOI] hdl:10419/239657 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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