Efficient and Exact Simulation of the Hull-White Model

Abstract. This paper describes how an efficient and exact Monte-Carlo simulation of the Hull-White model could be performed. For that purpose the joint conditional distribution of the short interest rate and the discount factor is derived. The proposed approach can be straightforward extended to the multifactor Gaussian affine term structure models

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Year of publication:	2016
Authors:	Ostrovski, Vladimir
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Simulation

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2013 erstellt
Other identifiers:	10.2139/ssrn.2304848 [DOI]
Classification:	G00 - Financial Economics. General ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013007339