Article ID Journal Published Year Pages File Type
5069286 Finance Research Letters 2017 9 Pages PDF
Abstract

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.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
A Unified Tree approach for options pricing under stochastic volatility models
Authors
, , ,