Hull and White Model Simulation
The piece presents a method for simulating asset price and variance under the Hull and White stochastic volatility model, useful for generating unbiased estimates for derivatives instruments pricing.
Featured in No. 51 on 28 May 2024 · 36 days after release
- Released
- 22 Apr 2024
- First featured
- No. 51 · 28 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 45
- Identifier
- SSRN 4838118
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).