EconPapers    
Economics at your fingertips  
 

A robust tree method for pricing American options with CIR stochastic interest rate

Elisa Appolloni, Lucia Caramellino and Antonino Zanette

Papers from arXiv.org

Abstract: We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.

Date: 2013-05
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in IMA Journal of Management Mathematics, 26, 345-375, 2015

Downloads: (external link)
http://arxiv.org/pdf/1305.0479 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1305.0479

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-07-23
Handle: RePEc:arx:papers:1305.0479