19 citations · 82 across the 14 of their papers we have counts for
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q-fin.CP2013★ 18 cited
A hybrid approach for the implementation of the Heston model
Maya Briani, Lucia Caramellino, Antonino Zanette
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…
q-fin.CP2013★ 4 cited
A robust tree method for pricing American options with CIR stochastic interest rate
Elisa Appolloni, Lucia Caramellino, Antonino Zanette
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restric…