Re: Matching results between HW tree and simulation models

Posted by Gouthaman Balaraman on May 19, 2015; 3:44pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16576.html

Peter

Thanks for pointing to these resources. I still haven't had a chance to completely understand your response. I have the Hull book, and I believe you are referring to the zero coupon bond price expression in the trinomial trees section (Eq 28.25 in my sixth edition copy under "Using Analytic Results in Conjunction with Trees" section). Is this what you were referring to?

Goutham