Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. The convertible bond price is given from the combined tree by backward induction
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest r...
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull-Wh...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In this poster, we consider a recently introduced hybrid tree pricing model. We consider the case wh...
This paper is a case study, documenting work completed for Institut fur betriebswirtschaftliche Bera...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
The Hull-White model is a one factor Markov model well known for its capability to capture the curre...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
The fast development of the financial markets in the last decade has lead to the creation of a varie...
We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly de...
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest r...
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull-Wh...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In this poster, we consider a recently introduced hybrid tree pricing model. We consider the case wh...
This paper is a case study, documenting work completed for Institut fur betriebswirtschaftliche Bera...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
The Hull-White model is a one factor Markov model well known for its capability to capture the curre...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
The fast development of the financial markets in the last decade has lead to the creation of a varie...
We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly de...
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
Cheuk and Vorst’s method [1996a] can be applied to price barrier options using one-factor interest r...
In this paper, we analize a novel approach for calibrating the one-factor and the two-factor Hull-Wh...
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