A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model

DOI10.1093/imaman/dpt030zbMath1433.91167arXiv1305.0479OpenAlexW1482679775MaRDI QIDQ5382670

Antonino Zanette, Lucia Caramellino, Elisa Appolloni

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.0479

zbMATH Keywords

American optionsstochastic interest rateCox-Ingersoll-Ross modeltree methods

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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The American put with finite‐time maturity and stochastic interest rate ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models

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