An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models

2019 ◽  
Vol 27 (3) ◽  
pp. 75-98 ◽  
Author(s):  
Junmei Ma ◽  
Sihuan Huang ◽  
Wei Xu
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Exotic Option ◽  
Exotic Option Pricing ◽  
Tree Method ◽  
Willow Tree

Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs

2013 ◽  
Vol 94 ◽  
pp. 55-75 ◽  
Author(s):  
J.L. Fernández ◽  
A.M. Ferreiro ◽  
J.A. García-Rodríguez ◽  
A. Leitao ◽  
J.G. López-Salas ◽  
...  
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
Sign in / Sign up

Export Citation Format

Share Document