A robust tree method for pricing American options with then   Cox-Ingersoll-Ross interest rate model

Appolloni Elisa; Caramellino Lucia; Zanette Antonino

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A robust tree method for pricing American options with then Cox-Ingersoll-Ross interest rate model

机译：用Cox-Ingersoll-Ross利率模型对美式期权定价的稳健树方法

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摘要

We propose a robust and stable lattice method which permits to obtain very accurate American option prices under the Cox-Ingersoll-Ross stochastic interest rate model without any numerical restriction on its parameters. Numerical results show the reliability and the accuracy of the proposed method.

机译：我们提出了一种鲁棒且稳定的格子方法，该方法允许在Cox-Ingersoll-Ross随机利率模型下获得非常准确的美国期权价格，而对其参数没有任何数值限制。数值结果表明了该方法的可靠性和准确性。

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来源
《IMA Journal of Management Mathematics》 |2015年第4期|377-401|共25页
作者
Appolloni Elisa; Caramellino Lucia; Zanette Antonino;
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作者单位

Univ Roma La Sapienza, MEMOTEF, I-00185 Rome, Italy.;

Univ Roma Tor Vergata, Dipartimento Matemat, I-00133 Rome, Italy.;

Univ Udine, Dipartimento Sci Econ & Stat, I-33100 Udine, Italy.;

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原文格式 PDF
正文语种 eng
中图分类
关键词
American options; tree methods; Cox-Ingersoll-Ross model; stochastic interest rate;

机译：美式期权;树法;Cox-Ingersoll-Ross模型;随机利率;

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3. A fractional version of the Cox-Ingersoll-Ross interest rate model and pricing double barrier option with Hurst index H ∈(2/3,1) [J] . Fallah Somayeh, Najafi Ali Reza, Mehrdoust Farshid Communications in Statistics . 2019,第7a9期

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4. Iterative Methods for Pricing American Options under the Bates Model [C] . Santtu Salmi, Jari Toivanen, Lina von Sydow International Conference on Computational Science . 2013

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5. Essays on option valuation: A quasi-parametric method for pricing options and testing the parametric option pricing models. [D] . Li, Xia. 2001

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7. A tree-based method to price American options in the Heston model [O] . Vellekoop Michel, Nieuwenhuis Hans 2009

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A robust tree method for pricing American options with then Cox-Ingersoll-Ross interest rate model

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