A new simple tree approach for the Heston's stochastic volatility model

DOI10.1016/j.camwa.2019.03.030zbMath1442.91118OpenAlexW2935065509WikidataQ128105640 ScholiaQ128105640MaRDI QIDQ2203258

Xiang-Chen Zeng, Song-Ping Zhu

Publication date: 5 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.03.030

zbMATH Keywords

finite difference methodHeston modelregime-switching modeloptions pricingtrinomial tree method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems

Uses Software

• Matlab

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Option pricing with regime switching by trinomial tree method
• The Heston Model and Its Extensions in Matlab and C#
• COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING
• Multinomial Approximating Models for Options with k State Variables
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Malliavin differentiability of the Heston volatility and applications to option pricing

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