A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Maya Briani, Lucia Caramellino and Antonino Zanette
| Year of publication: |
December 2017
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|---|---|
| Authors: | Briani, Maya ; Caramellino, Lucia ; Zanette, Antonino |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 3, p. 1-45
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| Subject: | stochastic volatility | stochastic interest rate | tree methods | finite difference | Monte Carlo | European and American options | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2017.333 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848334