• Tim Xiao deposited Hull White Volatility Calibration Method in the group Group logo of Business ManagementBusiness Management on Humanities Commons 3 years, 5 months ago

    We present an approach that calculates the Hull White (HW) volatility to make the swaption price calculated on a HW tree match Black’s price for the same swaption at each grid point. We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the corresponding HW volatility.