英文标题：
《Numerical stability of a hybrid method for pricing options》
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作者：
Maya Briani, Lucia Caramellino, Giulia Terenzi, Antonino Zanette
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最新提交年份：
2019
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英文摘要：
  We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and the interest rate and a finite-difference approach in order to handle the underlying asset price process. We also propose hybrid simulations for the model, following a binomial tree in the direction of both the volatility and the interest rate, and a space-continuous approximation for the underlying asset price process coming from a Euler-Maruyama type scheme. We show that our methods allow to obtain efficient and accurate European and American option prices. Numerical experiments are provided, and show the reliability and the efficiency of the algorithms.
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中文摘要：
我们发展并研究了随机利率下Bates跳跃模型泛函的混合逼近的稳定性，该模型在波动率和利率的方向上使用树方法，并使用有限差分方法来处理标的资产价格过程。我们还提出了该模型的混合模拟，遵循波动率和利率方向的二叉树，以及来自Euler Maruyama型方案的基础资产价格过程的空间连续近似。我们证明了我们的方法可以获得有效和准确的欧洲和美国期权价格。数值实验表明了算法的可靠性和有效性。
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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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