A Positive Interest 2-Factor Hull-White Model
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Document ID: 2002-33 (previously 2002/007)
Published on: 1st July 2002
Author: Steven Morrison
In this note, we discuss a specific class of 2-factor Hull-White models and show how they can be implemented using binomial trees. In particular, we describe the 2-factor Black-Karasinski model - a lognormal version of the Hull-White model with positive interest-rates.
