A hybrid tree/finite-difference approach for heston-hull-white-type models

In this paper,we study a hybrid tree/finite-difference method, which allows us 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 that can be used for Monte Carlo evaluations. Numerical results show the reliability and efficiency of the proposed methods