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  • Profile picture of Tim Xiao

    Tim Xiao deposited Hull White Volatility Calibration Study in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 1 year, 1 month ago

    We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the corresponding HW volatility.

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Tim Xiao

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@timxiao

Active 19 hours, 42 minutes ago