Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

DOI10.1080/13504860701596745zbMath1134.91372OpenAlexW1991761850MaRDI QIDQ3502207

Ionut Florescu, Frederi G. Viens

Publication date: 22 May 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701596745

zbMATH Keywords

stochastic volatilityoption pricingMonte Carlo methodincomplete marketsparticle methodrandom treestochastic filteringoptions market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• An Intertemporal Capital Asset Pricing Model
• 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
• Option pricing: A simplified approach
• A simple approach for pricing equity options with Markov switching state variables

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