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 models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods
International audienceWe develop and study stability properties of a hybrid approximation of functio...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...
In this paper,we study a hybrid tree/finite-difference method, which allows us to obtain efficient ...
We propose an efficient hybrid tree/finite difference method in order to approximate the Heston mode...
International audienceWe propose a hybrid tree-finite difference method in order to approximate the ...
The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull a...
We introduce a refined tree method to compute option prices using the stochastic volatility model of...
We introduce a refined tree method to compute option prices using the stochastic volatility model of...
We present a new tree-based numerical approach for options pricing under Heston\u27s stochastic vola...
In this poster, we consider a recently introduced hybrid tree pricing model. We consider the case wh...
We develop an algorithm to price American options on assets that follow the stochastic volatility mo...
International audienceWe develop and study stability properties of a hybrid approximation of functio...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...
In this paper,we study a hybrid tree/finite-difference method, which allows us to obtain efficient ...
We propose an efficient hybrid tree/finite difference method in order to approximate the Heston mode...
International audienceWe propose a hybrid tree-finite difference method in order to approximate the ...
The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull a...
We introduce a refined tree method to compute option prices using the stochastic volatility model of...
We introduce a refined tree method to compute option prices using the stochastic volatility model of...
We present a new tree-based numerical approach for options pricing under Heston\u27s stochastic vola...
In this poster, we consider a recently introduced hybrid tree pricing model. We consider the case wh...
We develop an algorithm to price American options on assets that follow the stochastic volatility mo...
International audienceWe develop and study stability properties of a hybrid approximation of functio...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump...