Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

By Ionut Florescu, Frederi G. Viens. 2008

67 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/91a70a6a15560174ab2ab4f76e3d584ec163014c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Alexandra Chronopoulou
2. Frederi G. Viens
3. Ivan Nourdin
4. T. T. Diu Tran
5. Ciprian A. Tudor

Citations in the corpus

• A tree-based method to price American options in the Heston model (2009, unknown): “They therefore propose a different algorithm [7], which combines a tree with Monte Carlo simulations based on a finite number of particles between time steps, but this is computationaly expensive.”
• Estimation and pricing under long-memory stochastic volatility (2012, methodology): “Then successors together with their corresponding probability weights are computed following Florescu and Viens, [13], as follows: Step 1: Sample a volatility value from the particle filter distribution, Φ n K ; denoted by Y i .”