Efficient and Exact Simulation of the Hull-White Model
6 Pages Posted: 2 Aug 2013
Date Written: August 1, 2013
Abstract. This paper describes how an efficient and exact Monte-Carlo simulation of the Hull-White model could be performed. For that purpose the joint conditional distribution of the short interest rate and the discount factor is derived. The proposed approach can be straightforward extended to the multifactor Gaussian affine term structure models.
Keywords: Hull-White Model, Monte-Carlo simulation, exact simulation, interest rate model
JEL Classification: G00, G10, G12, G13
Suggested Citation: Suggested Citation