Closed-form Arrow-Debreu pricing for the Hull-White short rate model (Q5120737)
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scientific article; zbMATH DE number 7247993
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| English | Closed-form Arrow-Debreu pricing for the Hull-White short rate model |
scientific article; zbMATH DE number 7247993 |
Statements
Closed-form Arrow-Debreu pricing for the Hull-White short rate model (English)
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16 September 2020
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perturbation expansion
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Hull-White
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short rate model
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closed-form solution
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Arrow-Debreu
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pricing kernel
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Green's function
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0.772229015827179
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0.7538753151893616
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0.7399499416351318
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0.7306392192840576
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