A Unified Tree approach for options pricing under stochastic volatility models
D. Nguyen and
Finance Research Letters, 2017, vol. 20, issue C, 260-268
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.
Keywords: Recombined tree; Options pricing; Markov chain approximation; Stochastic volatility model (search for similar items in EconPapers)
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