We study a hybrid tree/finite-difference method which permits 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 to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods.

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

ZANETTE, Antonino
2017-01-01

Abstract

We study a hybrid tree/finite-difference method which permits 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 to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11390/1078670
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