Hull and White Model Simulation
The study introduces a method to simulate asset price and variance under the Hull and White stochastic volatility model, offering a way to generate unbiased estimates for the price of derivatives instruments.
Featured in No. 40 on 13 Mar 2024 · 1 day after release
- Released
- 12 Mar 2024
- First featured
- No. 40 · 13 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4756390
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).