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"Calibration of one-factor and two-factor Hull-White models using swaptions."

Vincenzo Russo, Gabriele Torri (2019)

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DOI: 10.1007/S10287-018-0323-Z

access: closed

type: Journal Article

metadata version: 2020-05-10

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Vincenzo Russo, Gabriele Torri:
Calibration of one-factor and two-factor Hull-White models using swaptions. Comput. Manag. Sci. 16(1-2): 275-295 (2019)

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