Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
AbstractIn 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0411036.
Length: 7 pages
Date of creation: 13 Nov 2004
Date of revision: 25 Jan 2005
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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Swaption; delta; gamma; computational speed; convergence; Hull-White model; extended Vasiceck model;
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- 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.
- Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 1-18.
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