Numerical approximations for Heston-Hull-White type models
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
Year of publication: |
2015-03
|
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Authors: | Briani, M. ; Caramellino, L. ; Zanette, A. |
Institutions: | arXiv.org |
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