Browse our collection of papers in
Mathematics

C/C/336. An examination of the put option in the Hull-White model

WORDS:: 6600
DATE:: 2011
PRICE:: 69.99 GBP

This paper examines what mathematical model is best suited for the put option in the Hull-White model. The background to the study is provided, and the paper details the project aims and objectives. The review of literature examines a range of literature, some of which focuses on the Random Walk of Asset, the Payoff Function, Itô’s lemma, and the Hull-White Model. The paper then goes on to discuss different numerical valuation methods, some of which include the Fourier Transform Method and the Characteristic Function. The techniques discussed are implemented and analysed before conclusions are made.

KEYWORDS: mathematical model, put option, Hull-White model, Random Walk of Asset, the Payoff Function, Itô’s lemma, Fourier Transform Method, Characteristic Function,