Stochastic volatility: Option pricing using a multinomial recombining tree

Applied Mathematical Finance

Volumn 15, Issue 2, 2008, Pages 151-181

  Florescu, Ionut ^a   Viens, Frederi G ^b  

^a Stevens Institute of Technology   (United States)

^b PURDUE UNIVERSITY   (United States)

Author keywords

Incomplete markets; Monte Carlo method; Option pricing; Options market; Particle method; Random tree; Stochastic filtering; Stochastic volatility

Indexed keywords

EID: 40949160600     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860701596745     Document Type: Article

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