Improving Discrete Implementation of the Hull and White Two-Factor Model

This research analyzes the convergence properties of a discrete implementation of the Hull and White two-factor model. It compares caplet prices using both the discrete valuation algorithm and the analytic solution. Quality of the results depends crucially on the properties of the model parameters. The valuation algorithm may be improved while preserving its computational efficiency. An application of the modified algorithm to the caplet pricing problem indicates that substantially reduced valuation errors.

Export metadata

  • Export Bibtex
  • Export RIS
  • frontdoor_exportcitavi

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Fakultät / Lehrstuhl:Lehrstuhl für Betriebswirtschaftslehre, insbesondere Banking und Finanzcontrolling
Autor(en): Matthias Muck, Markus Rudolf
Titel der Zeitschrift/Sammelwerk (English):The Journal of Fixed Income : JFI
herausgebende Institution(en):Inst. Investor, Inc.
Place of publication:New York, NY
Erscheinungsjahr:2005
Ausgabe/Heft:14 (2005), 4
Seitenzahl / Größe (KB):S. 67 - 75 : graph. Darst.
Jahr der Erstpublikation / Fertigstellung:2005
DOI:http://dx.doi.org/10.3905/jfi.2005.491116
Document Type:Artikel in einer Zeitschrift / Postprint
Sprache(n):English
Publikationsdatum:24.09.2012
Licence (German):License LogoKeine Lizenz