19 citations · 82 across the 14 of their papers we have counts for
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q-fin.CP2016★ 5 cited
Numerical stability of a hybrid method for pricing options
Maya Briani, Lucia Caramellino, Giulia Terenzi +1
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of…
q-fin.PR2016★ 16 cited
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai,…