Quadrinomial Trees to Value Options in Stochastic Volatility Models

Julián A. Pareja-Vasseur; Freddy H. Marín-Sánchez

doi:10.3905/jod.2019.1.076

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

Julián A. Pareja-Vasseur

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 and

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Freddy H. Marín-Sánchez

is a titular professor in the School of Science at EAFIT University in Medellín, Colombia

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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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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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