Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model

In the framework of the Hull-White model we present a semi-explicit approach to compute the delta and the gamma. The method is faster and more accurate than classical approaches, specially when compared to the Hull-White tree implementation.

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Year of publication:	2004-11-13
Authors:	Henrard, Marc
Institutions:	EconWPA
Subject:	Swaption \| delta \| gamma \| computational speed \| convergence \| Hull-White model \| extended Vasiceck model

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 7. Draft version, comments are welcome specially on reference in the litterature about the tree problem in computing the gamma 7 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134926