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A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino - In: IMA journal of management mathematics 26 (2015) 4, pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
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A hybrid approach for the implementation of the Heston model
Briani, Maya; Caramellino, Lucia; Zanette, Antonio - In: IMA journal of management mathematics 28 (2017) 4, pp. 467-500
Persistent link: https://www.econbiz.de/10011845242