Semi-explicit Delta and Gamma for European swaptions in Hull- White one factor model

Marc Henrard ()

Finance from EconWPA

Abstract: In the framework of the Hull-White model we present a semi-explicit approach to compute the delta and the gamma. The method is faster and more accurate than classical approaches, specially when compared to the Hull-White tree implementation.

Keywords: Swaption; delta; gamma; computational speed; convergence; Hull-White model; extended Vasiceck model (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2004-11-13, Revised 2005-01-25
Note: Type of Document - pdf; pages: 7. Draft version, comments are welcome specially on reference in the litterature about the tree problem in computing the gamma
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0411036

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