Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...
