| To hedge the risk from the volatility of the financial assets, a kind of volatility indexed options are introduced and studied in the recent decades. Due to complexity of the problems raised by the uncertainty in the volatility, the research on finding efficient methods for pricing the volatility options is very important and difficult.In this thesis, four classes of volatility option pricing models are investigated and discretized by the stochastic trees. The formulas of the probabilities for each states are derived and the tree methods are then designed to compute the valuation of the options. From the numerical computations and implementations for American volatility options, it is shown that our approach is robust in the convergence, stability and efficiency. |
