Semi-closed-form prices of barrier options in the Hull-White model

Andrey Itkin, Dmitry Muravey
17 Dec 2020

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Andrey Itkin and Dmitry Muravey derive semi-closed-form prices of barrier options for the Hull-White model. They apply the methods of generalised integral transforms and heat potentials to pricing barrier options in the time-dependent Hull-White model with time-dependent barriers. Their analysis shows that, computationally, the methods used are more efficient than the backward and forward finite difference methods, and provide better accuracy and stability

The

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