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| Author: | Hull, J. White, A. |
| Title: | The general Hull-White model and supercalibration |
| Journal: | Financial Analysts' Journal
2001 : NOV/DEC, VOL. 57:6, p. 34-43 |
| Index terms: | OPTIONS TERM STRUCTURE OF INTEREST RATES TRADING |
| Language: | eng |
| Abstract: | Term-structure models are widely used to price interest rate derivatives, such as swap options and bonds with embedded options. The authors describe how a general one-factor model of the short rate can be implemented as a recombining trinominal tree and calibrated to market prices of actively traded instruments. |
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