Calibration of one-factor and two-factor hull-white models using swaptions (Q1722763)
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scientific article; zbMATH DE number 7024666
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| English | Calibration of one-factor and two-factor hull-white models using swaptions |
scientific article; zbMATH DE number 7024666 |
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Calibration of one-factor and two-factor hull-white models using swaptions (English)
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18 February 2019
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one-factor hull-white model
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two-factor hull-white model
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calibration
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swaption
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coupon bond option
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0.8047979474067688
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0.7780840992927551
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0.750864565372467
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0.7453054785728455
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