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Hull White Volatility Calibration Study
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Scholarly Communication
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- Hull White model, volatility
- Permanent URL:
- https://doi.org/10.17613/3jcm-s038
- Abstract:
- We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the corresponding HW volatility.
- Notes:
- https://finpricing.com/lib/EqCallable.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 year ago
- License:
- Attribution
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hwvol.pdf