Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bowei Chen & Jun Wang, 2014. "A lattice framework for pricing display advertisement options with the stochastic volatility underlying model," Papers 1409.0697, arXiv.org, revised Dec 2015.
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More about this item
KeywordsIncomplete markets; Monte Carlo method; options market; option pricing; particle method; random tree; stochastic filtering; stochastic volatility;
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