Calibration of one-factor and two-factor Hull-White models using swaptions
Vincenzo Russo, Gabriele Torri
| Year of publication: |
2019
|
|---|---|
| Authors: | Russo, Vincenzo ; Torri, Gabriele |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 275-295
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| Subject: | One-factor Hull-White model | Two-factor Hull-White model | Calibration | Swaption | Coupon bond option | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Volatilität | Volatility | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0323-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993481