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Question
Plot Smile Volatility using Hull-White formula to Ornstein–Uhlenbeck process (Depend of Time and K)
I have the Hull-White formula: <</matlabcentral/answers/uploaded_files/114766/RpFED.png>> if true % code e...
8 years ago | 0 answers | 0
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answersQuestion
Plot Smile Volatility using Hull-White formula to Ornstein–Uhlenbeck process
if true % clear all clc theta = 1; a = 1.2; b = 0.3; % Vues in OU process S0 = 100; r = 0; N =100; M = 1; T = 1; % Val...
8 years ago | 0 answers | 0
