A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
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DOI: 10.1002/mma.7505
Abstract: A new efficient numerical method is proposed for valuation of American option on zero‐coupon bond using Hull and White model. By applying the front‐fixing transformation suggested by Holmes and Yang, the original free boundary problem… read more here.
Keywords: white model; zero coupon; hull white; coupon bond ... See more keywords
Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
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DOI: 10.1007/s11009-017-9548-5
Abstract: We consider the stochastic volatility model dSt = σtStdWt,dσt = ωσtdZt, with (Wt,Zt) uncorrelated standard Brownian motions. This is a special case of the Hull-White and the β=1 (log-normal) SABR model, which are widely used… read more here.
Keywords: model; stochastic volatility; volatility model; hull white ... See more keywords