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A robust tree method for pricing American options with CIR stochastic interest rate

We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.
Year of publication:
2013-05
Authors: Appolloni, Elisa ; Caramellino, Lucia ; Zanette, Antonino
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010643324
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