Accelerated trinomial trees applied to American basket options and American options under the Bates model
Conall O'Sullivan and Stephen O'Sullivan
| Year of publication: |
June 2016
|
|---|---|
| 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 | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011603176