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

University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

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.

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