Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model
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.
|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|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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- Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
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