A hybrid tree/finite-difference approach for Heston-Hull-White-type models

被引：10
|
作者：
Briani, Maya [1 ]
Caramellino, Lucia [2 ]
Zanette, Antonino [3 ]
机构：
[1] CNR, Ist Applicaz Calcolo, Via Taurini 19, I-00185 Rome, Italy
[2] Univ Roma Tor Vergata, Dipartimento Matemat, Via Ric Sci 1, I-00133 Rome, Italy
[3] Univ Udine, Dipartimento Sci Econ & Stat, Via Tomadini 30-A, I-33100 Udine, Italy
来源：
JOURNAL OF COMPUTATIONAL FINANCE | 2017年 / 21卷 / 03期
关键词：
stochastic volatility; stochastic interest rate; tree methods; finite difference; Monte Carlo; European and American options; AMERICAN OPTIONS; TERM STRUCTURE; INTEREST-RATES; SCHEMES;
D O I：
10.21314/JCF.2017.333
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston-Hull-White and Heston-Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme that can be used for Monte Carlo evaluations. Numerical results show the reliability and efficiency of the proposed methods.
引用
收藏
页码：1 / 45
页数：45
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