AbstractsMathematics
Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap
| Institution: | Mälarden University |
|---|---|
| Department: | |
| Year: | 2015 |
| Keywords: | swaption; hull-white; finite difference; cancellabe swaption; Engineering and Technology; Teknik och teknologier; Mathematics/Applied Mathematics; Matematik/tillämpad matematik |
| Record ID: | 1372440 |
| Full text PDF: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-27471 |
Abstract
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.
