19 citations · 82 across the 14 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
q-fin.PR2015★ 19 cited
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenege, Andrea Molent, Antonino Zanette
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and…
q-fin.CP2015★ 16 cited
A hybrid tree/finite-difference approach for Heston-Hull-White type models
M. Briani, L. Caramellino, A. Zanette
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…