A hybrid tree/finite-difference approach for Heston-Hull-White type models
Computational Finance
2017-12-04 v5
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
Cite
@article{arxiv.1503.03705,
title = {A hybrid tree/finite-difference approach for Heston-Hull-White type models},
author = {M. Briani and L. Caramellino and A. Zanette},
journal= {arXiv preprint arXiv:1503.03705},
year = {2017}
}