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

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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Bibliographic Details
Main Author: Lin, Xinyan
Format: Others
Language:English
Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2015
Subjects:
swaption
hull-white
finite difference
cancellabe swaption
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-27471

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