A unified tree approach for options pricing under stochastic volatility models
C.C. Lo, D. Nguyen, K. Skindilias
| Year of publication: |
February 2017
|
|---|---|
| Authors: | Lo, C. C. ; Nguyen, Duy ; Skindilias, K. |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 20.2017, p. 260-268
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| Subject: | Recombined tree | Options pricing | Markov chain approximation | Stochastic volatility model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Markov-Kette | Markov chain | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.10.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011806944