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

Description

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.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-27471

Tags

swaption

hull-white

finite difference

cancellabe swaption

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-27471
Date	January 2015
Creators	Lin, Xinyan
Publisher	Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess