英文标题:
《A hybrid approach for the implementation of the Heston model》
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作者:
Maya Briani, Lucia Caramellino, Antonino Zanette
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最新提交年份:
2017
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英文摘要:
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices. We finally provide numerical experiments that give accurate option prices in the Heston model, showing the reliability and the efficiency of the algorithm.
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中文摘要:
为了逼近赫斯顿模型,我们提出了一种混合树有限差分方法。通过将该过程嵌入到二元马尔可夫链中,我们证明了收敛性,并研究了欧式和美式期权价格的收敛性。最后,我们提供了数值实验,在赫斯顿模型中给出了准确的期权价格,显示了算法的可靠性和效率。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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