Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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- 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.
- Ha-Young Kim & Frederi Viens, 2012. "Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility," Annals of Finance, Springer, vol. 8(2), pages 405-425, May.
- repec:taf:oaefxx:v:5:y:2017:i:1:p:1358894 is not listed on IDEAS
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KeywordsIncomplete markets; Monte Carlo method; options market; option pricing; particle method; random tree; stochastic filtering; stochastic volatility;
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