We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods

中文翻译：

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Heston-Hull-White 型模型的混合树/有限差分方法

我们研究了一种混合树有限差分方法，该方法允许在 Heston Hull-White 和 Heston Hull-White2d 模型中获得有效且准确的欧洲和美国期权价格。此外，作为副产品，我们提供了一种用于蒙特卡罗评估的新模拟方案。数值结果表明了所提出方法的可靠性和有效性