Quadrinomial Trees to Value Options in Stochastic Volatility Models

Julián A. Pareja-Vasseur and Freddy H. Marín-Sánchez
The Journal of Derivatives Fall 2019, 27 (1) 49-66; DOI: https://doi.org/10.3905/jod.2019.1.076

Article Information

vol. 27 no. 1 49-66
DOI 
https://doi.org/10.3905/jod.2019.1.076
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online August 30, 2019.

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© 2019 Pageant Media Ltd

Author Information

  1. Julián A. Pareja-Vasseur
    1. is a PhD at Centrum Catolica in Peru and an associate professor in the School of Economy and Finance at EAFIT University in Medellín, Colombia. (jparejav{at}pucp.pe) and (jparejav{at}eafit.edu.co)
  2. Freddy H. Marín-Sánchez
    1. is a titular professor in the School of Science at EAFIT University in Medellín, Colombia. (fmarinsa{at}eafit.edu.co)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Quadrinomial Trees to Value Options in Stochastic Volatility Models
Julián A. Pareja-Vasseur, Freddy H. Marín-Sánchez
The Journal of Derivatives Aug 2019, 27 (1) 49-66; DOI: 10.3905/jod.2019.1.076
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