A Unified Tree approach for options pricing under stochastic volatility models

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• 作者：C.C. Lo^a ; ^{cclo@mbsc.edu.sa} ; D. Nguyen ; ^b ; ^{nducduy@gmail.com} ; K. Skindilias^c ; ^{k.skindilias@gre.ac.uk}
• 关键词：Recombined tree ; Options pricing ; Markov chain approximation ; Stochastic volatility model
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：260-268
• 全文大小：400 K
• 卷排序：20

文摘

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.