Using Hull-White interest rate trees

Journal of Derivatives

Volumn 3, Issue 3, 1996, Pages 26-36

  Hull, John ^a   White, Alan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85015840321     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1996.407949     Document Type: Article

References (10)

1. Black, F., E. Detman, and W. Toy. "A One-Factor Model of Interest Rates and its. Application to Treasury Bond Options." Financial Analysts Jounal, January-February 1990, pp. 33-39.
2. Black, F., and P. Karasinski. "Bond and Option Pricing when Short Rates are Lognormal." Financial Analyilt Jounal, July-August, 1991, pp. 52-59.
3. Derman, E. T. Kani, D. Ergener, and I. Bardhan. "Enhanced Numerical Procedures for Options with Barrier?." Working paper, Goldman Sachs, May 1995.
4. Hull, J., and A, White. "Pricing Interest Pate Derivative Securities." Review of Financial Studies, 3, 4(1990), pp. 573-592.
5. -. "Efficient Procedures for Valuing European and American Path-Dependent Derivatives." Journal of Derivatives. 1, 1(Fall 1993), pp. 21-31.
6. -. "Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models", Journal of Derivatives, 2, 1(Fail 1994a), pp. 7-16.
7. -. "Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models." Journal of Derivatives, 2, 1(Winter 1994b), pp. 37-48.
8. Kijima. M., and I. Nagayama, "Efficient Numerical Procedures for the Hull-White Extended Vasicek Model." Journal of Financial Engineeing, 3, 4(September/December 1994), pp. 275-292.
9. Pelsser, A. "An Efficient Algorithm for Calculating Prices in the HuIl-White Model", Working paper, ABN-Amro Bank. Derivative Product Research and Development, 1994.
10. Ritchken, P. "On Pricing Barrier Options." Journal of Derivatives, 3, 2(Winter 1995), pp. 19-28.