Efficient calibration of trinomial trees for one-factor short rate models

被引：1
|
作者：
Leippold M. [1 ]
Wiener Z. [2 ,3 ]
机构：
[1] Swiss Banking Institute, University of Zurich, Zurich
[2] School of Business Administration, Hebrew University of Jerusalem
[3] Marshall School of Business, University of Southern California, Los Angeles, CA
来源：
Review of Derivatives Research | 2004年 / 7卷 / 3期
关键词：
Forward measure; Short rate models; Trinomial trees;
D O I：
10.1007/s11147-004-4810-8
中图分类号：
学科分类号：
摘要：
In this paper we propose a computationally efficient implementation of general one factor short rate models with a trinomial tree. We improve the Hull-White's procedure to calibrate the tree to bond prices by circumventing the forward rate induction and numerical root search algorithms. Our calibration procedure is based on forward measure changes and is as general as the Hull-White procedure, but it offers a more efficient and flexible method of constructing a trinomial term structure model. It can be easily implemented and calibrated to both prices and volatilities. © 2005 Kluwer Academic Publishers.
引用
收藏
页码：213 / 239
页数：26
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