Exercise 26.5.5 Derive the HullWhite models volatility structure.

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Exercise 26.5.5 Derive the Hull–White model’s volatility structure.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 28, 2024 05:02 AM

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Exercise 26.5.5 Derive the HullWhite models volatility structure.
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Exercise 26.5.4 (1) Price calls on a zero-coupon bond under the HoLee model. (2) Price calls on a zero-coupon bond under the HullWhite model.
Exercise 26.5.6 Verify that the model in Example 26.5.3 converges to the HoLee model as a0.
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Exercise 26.5.5 Derive the HullWhite models volatility structure.

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Financial Engineering And Computation Principles Mathematics Algorithms

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