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Hull White Volatility Calibration Study
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Scholarly Communication
Subject(s):
Derivative securities
,
Derivative securities--Valuation
Item Type:
Essay
Tag(s):
Hull White model
,
volatility
Search term matches:
Tag
...
hull
white
model
...
Full Text
... terms, the agreement between these two prices was only marginally acceptable.
Hull
White
model
...
Hull-White Convertible Bond Model
Author(s):
Tim Xiao
(see profile)
Date:
2022
Group(s):
Business Management
Subject(s):
Derivative securities
,
Pricing
Item Type:
Essay
Tag(s):
convertible bond
,
hull white model
Search term matches:
Tag
...
hull
white
model
...
Full Text
... between the short-term interest rate is sufficiently small. The
Hull-White
model
was tested ...
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