The Hull-White 1 Factor Convexity Adjustment and the Special Case when the Hull-White and Ho-Lee Models are Equivalent

In what follows we quote the Hull-White 1 factor and Ho-Lee model dynamics and their corresponding Eurodollar convexity adjustment formulas. We then show that, in the special case where the Hull-White mean reversion parameter is zero, the adjustment under the Hull-White and Ho-Lee models is identical

Year of publication:	2016
Authors:	Burgess, Nicholas
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory

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