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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 examples, the MATLAB codes are also provide in the appendix in order for reader to reproduce the result. Also, the paper extends to price cancellable swap in the end.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-27471
Date January 2015
CreatorsLin, Xinyan
PublisherMälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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