Year of publication
- 2005 (5) (remove)
- Artikel in einer Zeitschrift / Postprint (5) (remove)
- Who Are the People Reluctant to Participate in Research? Personality Correlates of Four Different Types of Nonresponse as Inferred from Self- and Observer Ratings (2005)
- Nachhaltigkeit, Bildung und Zeit : Respekt vor Eigenzeiten als Leitziel der politischen Bildung. (2005)
- Improving Discrete Implementation of the Hull and White Two-Factor Model (2005)
- 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.