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.
Titolo: | A hybrid tree/finite-difference approach for Heston-Hull-White type models |
Autori: | |
Data di pubblicazione: | 2017 |
Rivista: | |
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. |
Handle: | http://hdl.handle.net/11390/1078670 |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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