[求助]关于short rate model

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

<P>用hull-white模型来对一个3-Month libor cap定价</P>
<P>现在已知hull-white模型的volatility是0.01，，那么怎么求每个caplet的volatility??具体题目如下：</P>
<P>consider 3-month libor cap with 5 years to maturity and strike of 6%.</P>
<P>assume the underlying libor curve to be flat at 4% compounded quartly.</P>
<P>price the cap using hull-white model with mean reversion of 2.5% and sigma volatilty parameter of 0,01.</P>
<P>谢谢！！</P>

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：short rate model Short Rate mode sigma 模型

caplet = call on interest rate = put on bond

1-factor HW is essentially Vasicek. The formulas of bond options are exactly the same.

Check out Hull's 5th edition, page 548, (23.26)

thanks a lot!! I get it!!!

2# irvingy hello can u solve my short rate interest question?