Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A hybrid tree/finite-difference approach for Heston–Hull–White-type models
Need to know
- A hybrid tree/finite-difference method for the approximation of the Heston Hull-White models.
- A new simulation scheme for Monte Carlo evaluations of option prices.
- Numerical results show the accuracy of the proposed methods.
Abstract
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.
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