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.
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model.
ZANETTE, Antonino
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:
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