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
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Published in IMA Journal of Management Mathematics, 26, 345-375, 2015
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1305.0479
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