We propose a robust and stable lattice method which permits to obtain very accurate American option prices under the Cox–Ingersoll–Ross stochastic interest rate model without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.
Appolloni, E., Caramellino, L., Zanette, A. (2015). A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 26(4), 377-401 [10.1093/imaman/dpt030].
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
CARAMELLINO, LUCIA;
2015-01-01
Abstract
We propose a robust and stable lattice method which permits to obtain very accurate American option prices under the Cox–Ingersoll–Ross stochastic interest rate model without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
ACZ_2013_final.pdf
solo utenti autorizzati
Licenza:
Copyright dell'editore
Dimensione
359.4 kB
Formato
Adobe PDF
|
359.4 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
