Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
From MaRDI portal
Publication:2203803
DOI10.1016/j.camwa.2018.10.047zbMath1442.91105OpenAlexW2901046139WikidataQ128937019 ScholiaQ128937019MaRDI QIDQ2203803
Fazlollah Soleymani, Behzad Nemati Saray
Publication date: 2 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2018.10.047
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Constructing an efficient multi-step iterative scheme for nonlinear system of equations ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An artificial boundary method for the Hull-White model of American interest rate derivatives
- Boundary conditions for the single-factor term structure equation
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Pricing variance swaps under stochastic volatility and stochastic interest rate
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- A Lyapunov and Sacker-Sell spectral stability theory for one-step methods
- Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs
- Implementing models in quantitative finance: methods and cases
- An \textit{hp}-proper orthogonal decomposition-moving least squares approach for molecular dynamics simulation
- A Theory of the Term Structure of Interest Rates
- Extension of stochastic volatility equity models with the Hull–White interest rate process
- On the Heston Model with Stochastic Interest Rates
- Theoretical Numerical Analysis
- A Practical Guide to Pseudospectral Methods
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- On the impact of various formulations of the boundary condition within numerical option valuation by DG method
- On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- The Mathematica GuideBook for Numerics
This page was built for publication: Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
