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Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model

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Author Info

  • Marc Henrard

    (Bank for International Settlements)

Abstract

In the framework of the Hull-White model we present a semi-explicit approach to compute the delta and the gamma. The method is faster and more accurate than classical approaches, specially when compared to the Hull-White tree implementation.

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File URL: http://128.118.178.162/eps/fin/papers/0411/0411036.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0411036.

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Length: 7 pages
Date of creation: 13 Nov 2004
Date of revision: 25 Jan 2005
Handle: RePEc:wpa:wuwpfi:0411036

Note: Type of Document - pdf; pages: 7. Draft version, comments are welcome specially on reference in the litterature about the tree problem in computing the gamma
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Web page: http://128.118.178.162

Related research

Keywords: Swaption; delta; gamma; computational speed; convergence; Hull-White model; extended Vasiceck model;

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Cited by:
  1. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 1-18.
  2. Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany.

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