Using Hull-White Interest Rate Trees
- 29 February 1996
- journal article
- Published by With Intelligence LLC in The Journal of Derivatives
- Vol. 3 (3) , 26-36
- https://doi.org/10.3905/jod.1996.407949
Abstract
The Hull-White tree-building procedure was first outlined in the Fall 1994 issue of Journal of Derivatives. It is becoming widely used by practitioners. This procedure is appropriate for models where there is some function x = f(r) of the short rate rthat follows a meanreverting arithmetic process. It can be used to implement the Ho-Lee model, the HullWhite model, and the Black-Karasinskimodel. Also, it is a tool that can be used for developing a wide range of new models. In this article we provide more details on the way in which Hull-White trees can be used.Keywords
This publication has 0 references indexed in Scilit: