18 citations · 96 across the 20 of their papers we have counts for
3 papers · 1 filter
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…
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…
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…