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arXiv · 1503.03705

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

M. Briani·L. Caramellino·A. Zanette
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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

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M. Briani, L. Caramellino, A. Zanette. 2015-03-12. A hybrid tree/finite-difference approach for Heston-Hull-White type models. https://doi.org/10.21314/jcf.2017.333

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