Calibration of one-factor and two-factor Hull–White models using swaptions
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DOI: 10.1007/s10287-018-0323-z
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References listed on IDEAS
- Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, vol. 3(2), pages 157-181, May.
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- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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Cited by:
- Indu Rani & Chandan Kumar Verma, 2024. "Analyzing Short-Rate Models for Efficient Bond Option Pricing: A Review," SN Operations Research Forum, Springer, vol. 5(3), pages 1-26, September.
- Claudio Fontana & Francesco Rotondi, 2022. "Valuation of general GMWB annuities in a low interest rate environment," Papers 2208.10183, arXiv.org, revised Aug 2023.
- Fontana, Claudio & Rotondi, Francesco, 2023. "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 142-167.
- Kladívko, Kamil & Rusý, Tomáš, 2023. "Maximum likelihood estimation of the Hull–White model," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 227-247.
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Keywords
One-factor Hull–White model; Two-factor Hull–White model; Calibration; Swaption; Coupon bond option;All these keywords.
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