Numerical Implementation of Hull-White Interest Rate Model: Hull-White Tree vs Finite Differences
نویسنده
چکیده
We implement the finite-difference (FD) solver and the Hull-White (HW) tree for numerical treatment of the pricing problem under the Hull-White interest rate model. We find that the FD solver is superior to the HW tree.
منابع مشابه
رویکرد روش مونت کارلوی کمترین مربعات برای قیمت گذاری اختیار فروش آمریکایی چند دارایی تحت مدل هستون-هال وایت
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تاریخ انتشار 2003