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

Author

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  • 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.

Suggested Citation

  • Marc Henrard, 2004. "Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model," Finance 0411036, EconWPA, revised 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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    File URL: http://econwpa.repec.org/eps/fin/papers/0411/0411036.pdf
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    References listed on IDEAS

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    1. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA.
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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.

    More about this item

    Keywords

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

    JEL classification:

    • G - Financial Economics

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