Search Results - subject:"Hull–White model"

Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model

Kim, Bara; Kim, Jeongsim; Yoon, Hyungkuk; Lee, Jinyoung - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015135005

Pricing pandemic bonds under hull-white & stochastic logistic growth model

Manathunga, Vajira; Deng, Linmiao - In: Risks : open access journal 11 (2023) 9, pp. 1-28

Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an "uninsurable" event, pandemic bonds caught the attention of the world with the issuance of pandemic bonds...

Persistent link: https://www.econbiz.de/10014370558

The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

Berninger, Christoph; Pfeiffer, Julian - In: European Actuarial Journal 11 (2021) 2, pp. 677-705

)—in a different representation also known as the 2-Factor Hull-White model. In this paper, we propose a framework to …

Persistent link: https://www.econbiz.de/10014501762

Pricing options embedded in debentures with credit risk

Almeida, Caio; Pereira, Leonardo - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10011538968

Pricing a Bermudan Swaption with a Short Rate Lattice Method

Tamba, Yasuhiro - Graduate School of Economics, Osaka University - 2005

right has not been exercised at any previous time in the schedule. Assuming a common diffusion short rate dynamics, the Hull-White … model, we propose a dynamic programming approach for their risk neutral evaluation. This framework is suited to a …

Persistent link: https://www.econbiz.de/10005774273

Pricing of a Chooser Flexible Cap and its Calibration

Ito, Daisuke; Ohnishi, Masamitsu; TAMBA, Yasuhiro - Graduate School of Economics, Osaka University - 2004

, e.g., Hull-White model, we propose a dynamic programming approach for their risk neutral evaluation. This framework is …

Persistent link: https://www.econbiz.de/10005828385

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Schönbucher, Philipp J. - 2000

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10010317645

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Schönbucher, Philipp J. - University of Bonn, Germany - 2000

Persistent link: https://www.econbiz.de/10005032227

A tree Implementation of a credit spread model for credit derivatives

Schönbucher, Philipp J. - 2000 - This version June 1999

Persistent link: https://www.econbiz.de/10011538904