Improving Discrete Implementation of the Hull and White Two-Factor Model
Faculty/Professorship: | Banking and Financial Control |
Author(s): | Muck, Matthias ; Rudolf, Markus |
Title of the Journal: | The Journal of Fixed Income : JFI |
Corporate Body: | Inst. Investor, Inc. |
Publisher Information: | New York, NY |
Year of publication: | 2005 |
Volume: | 14 |
Issue: | 4 |
Pages: | 67-75 ; Diagramme |
Year of first publication: | 2005 |
Language(s): | English |
DOI: | 10.3905/jfi.2005.491116 |
Abstract: | 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. |
Peer Reviewed: | Ja |
International Distribution: | Ja |
Type: | Article |
URI: | https://fis.uni-bamberg.de/handle/uniba/471 |
Year of publication: | 15. November 2012 |

originated at the
University of Bamberg
University of Bamberg