Lo, Chia; Nguyen, Duy; Skindilias, Konstantinos - 2022
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