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

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

References in corpus (2)

• A hybrid approach for the implementation of the Heston model
• A robust tree method for pricing American options with CIR stochastic interest rate

Cited by in corpus (5)

• Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
• Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
• Model order reduction for parametric high dimensional models in the analysis of financial risk
• Numerical stability of a hybrid method for pricing options
• Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model