Title: A Unified Tree approach for options pricing under stochastic volatility models
Abstract: 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.
Publication Year: 2017
Publication Date: 2017-02-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 16
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