Approximating stochastic volatility by recombinant trees

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Author
Akyildirim, Erdinç
Dolinsky, Yan
Soner, H. Mete
Date
2014
Type
  • Journal Article
Publication status
published
External links
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Journal / series
The annals of applied probability
Volume
24(5)
Pages
2176 - 2205
Publisher
Institute of Mathematical Statistics
Organisational unit
03844 - Soner, Mete
Notes
Received May 2012, Revised March 2013.
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Citations
Cited 2 times in Web of Science
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