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

M. Briani, L. Caramellino and A. Zanette

Papers from arXiv.org

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

Date: 2015-03, Revised 2017-12
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 (6)

Published in The Journal of Computational Finance 2017 Volume 21 Number 3 Pages 1-45

Downloads: (external link)
http://arxiv.org/pdf/1503.03705 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:1503.03705

Access Statistics for this paper

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