When the forward rate volatility, s(t, T) in HJM is e-a(T-t) the Hull-White model results. Verify that

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"When the forward rate volatility, s(t, T) in HJM is σe-a(T-t) the Hull-White model results." Verify that this is true by showing that HJM gives a process for bond prices that is consistent with the Hull-White model in Chapter 32.

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:33 PM

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When the forward rate volatility, s(t, T) in HJM is e-a(T-t) the Hull-White model results. Verify that

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Using the notation in Section 331 when Integrating for some function Using the ...View the full answer

Options Futures and Other Derivatives

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