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An efficient grid lattice algorithm for pricing American-style options

Liu, Zhongkai; Pang, Tao - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 36-55

Persistent link: https://www.econbiz.de/10011589162

Stochastic lattice models for valuation of volatility options

Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104

Persistent link: https://www.econbiz.de/10011438895

The GARCH Option Pricing Model: A Modification of Lattice Approach

Wu, Chun-Chou - In: Review of Quantitative Finance and Accounting 26 (2006) 1, pp. 55-66

Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH options, it was inappropriate when the option price was computed on the lattice...

Persistent link: https://www.econbiz.de/10005673845

Optimal risk transfer and investment policies based upon stochastic differential utilities

Nakamura, Nobuhiro - In: Asia-Pacific Financial Markets 12 (2005) 4, pp. 375-403

Persistent link: https://www.econbiz.de/10005727045

Numerical Approach to Asset Pricing Models with Stochastic Differential Utility

Nakamura, Nobuhiro - In: Asia-Pacific Financial Markets 11 (2004) 3, pp. 267-300

Persistent link: https://www.econbiz.de/10005810976