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Hull White Volatility Calibration Method
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities--Valuation, Derivative securities
- Item Type:
- Essay
- Tag(s):
- volatility calibration
- Permanent URL:
- https://doi.org/10.17613/3s5p-h366
- Abstract:
- We present an approach that calculates the Hull White (HW) volatility to make the swaption price calculated on a HW tree match Black's price for the same swaption at each grid point. We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the corresponding HW volatility.
- Notes:
- https://finpricing.com/lib/EqCallable.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
hwvol.pdf