Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap : Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap
This thesis mainly focuses on analyzing and pricing European swaption via Crank{Nicolson Finite Dierence method. This paper begins with some rather common instruments, denitions and valuations are also provided. MATLAB is the main computer language used throughout this paper, for the numerical examp...
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-27471 |