Frederi Viens

Purdue University

610 Purdue Mall

West Lafayette, IN 47906

United States

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Scholarly Papers (1)

1.

Stochastic Volatility: Option Pricing Using a Multinomial Recombining Tree

Applied Mathematical Finance, Vol. 15, No. 2, 2008
Number of pages: 38 Posted: 26 May 2012 Last Revised: 23 Mar 2018
Ionut Florescu and Frederi Viens
Stevens Institute of Technology and Purdue University
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Abstract:

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incomplete markets, Monte-Carlo method, options market, option pricing, particle method, random tree, stochastic ļ¬ltering, stochastic volatility