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

被引：8

作者：

Appolloni, Elisa ^{[1
]}

Caramellino, Lucia ^{[2
]}

Zanette, Antonino ^{[3
]}

机构：

[1] Univ Roma La Sapienza, MEMOTEF, I-00185 Rome, Italy

[2] Univ Roma Tor Vergata, Dipartimento Matemat, I-00133 Rome, Italy

[3] Univ Udine, Dipartimento Sci Econ & Stat, I-33100 Udine, Italy

来源：

IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2015年 / 26卷 / 04期

关键词：

American options; tree methods; Cox-Ingersoll-Ross model; stochastic interest rate;

D O I：

10.1093/imaman/dpt030

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

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.

引用

页码：377 / 401

页数：25

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