Approximating stochastic volatility by recombinant trees

DOI10.1214/13-AAP977zbMath1329.60248arXiv1205.3555OpenAlexW3098781826WikidataQ57635864 ScholiaQ57635864MaRDI QIDQ744390

Erdinç Akyıldırım, Yan Dolinsky, Halil Mete Soner

Publication date: 25 September 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.3555

zbMATH Keywords

weak convergencestochastic volatilityHeston modelrecombinant trees

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (8)

Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ On statistical indistinguishability of complete and incomplete discrete time market models ⋮ On strong causal binomial approximation for stochastic processes ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ General lattice methods for arithmetic Asian options ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ Lattice methods for pricing American strangles with two-dimensional stochastic volatility models ⋮ Pricing and exercising American options: an asymptotic expansion approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Duality and convergence for binomial markets with friction
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Limit theorem on option replication cost with transaction costs
• ARCH models as diffusion approximations
• A Theory of the Term Structure of Interest Rates
• THE GARCH OPTION PRICING MODEL
• American Options Under Stochastic Volatility
• Functional quantization for numerics with an application to option pricing
• Pricing of geometric Asian options under Heston's stochastic volatility 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
• Efficient numerical methods for pricing American options under stochastic volatility
• Option pricing: A simplified approach
• A Diffusion Limit for Generalized Correlated Random Walks

This page was built for publication: Approximating stochastic volatility by recombinant trees