Consider again the Hull White model Using tT E T t r T ,obtain the volatility of the SDE of the discount bond D(t,T) e T t t,s ds ...

Heres the derivation of the volatility of the discount bond ...

Consider again the Hull-White model. Using tT = E T t [r T ],obtain the volatility of

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Consider again the Hull-White model. Using ƒtT = E^T_t [r_T],obtain the volatility of the SDE of the discount bond D(t,T) = e–∫^T_tƒt,s^ds .

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:35 AM

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Consider again the Hull-White model. Using tT = E T t [r T ],obtain the volatility of

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Market Practice In Financial Modelling

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