Efficient Numerical Procedures for the Hull-White Extended Vasicek Model

This paper studies numerical procedures for the Hull-White extended Vasicek model. The purpose of this paper is two- fold. The first is to elaborate the procedure of Hull and White (1994). We obtain the shift function directly from the initial term structure without any calculation on a tree. The second objective is to propose a new procedure to construct a trinomial tree by focusing on symmetric movements of Wiener processes. Numerical experiments are reported to support the effectiveness of our findings