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.
Briani, M., Caramellino, L., Zanette, A. (2017). A hybrid tree/finite-difference approach for heston-hull-white-type models. THE JOURNAL OF COMPUTATIONAL FINANCE, 21(3), 1-45 [10.21314/JCF.2017.333].
A hybrid tree/finite-difference approach for heston-hull-white-type models
BRIANI, MAYA;Caramellino L.;
2017-01-01
Abstract
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.File in questo prodotto:
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