Pricing Bermudan swaptions of the Hull-White type by the Ehrenfest approach

摘要：

Bermudan swaptions are American-style interest rate derivatives which are always evaluated by Markov-style one factor models from practitioners. This paper chooses the Hull-White model with stepwise market fitting functions to value these contacts. Based on the Ehrenfest approach proposed by Sumita, Gotoh and Jin (2006) and Jin, Gotoh and Sumita (2007), computational algorithms are developed for this purpose. The generating function method is utilized to compute the transition probabilities of the Hull-White model. Numerical results arc obtained and also compared to that of the traditional Hull-White trinomial tree approach, demonstrating the trustness and accuracy of the Ehrenfest approach.

关键词： Bermudan swaption Hull-White model stepwise market fitting function Ehrenfest approach generating function method

作者: Hui Jin

作者单位: School of Finance and Economics Hangzhou Dianzi University Xiasha,Hangzhou,Zhejiang 310018,CHINA

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 239-243

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）