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.
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页码：377 / 401
页数：25
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