Hull white tree with piecewise volatility structure

dlwl · January 11th, 2013, 2:43 pm

Hi all,i could build hull white tree using hull text book when mean reversion and volatility are constant.when the volatility is time-varying piecewise volatility, i have problem constructing the tree. I can no longer determine the boundary and my probability is negative.does anyone have any example to show me how to construct the hull white tree with time-varying piecewise vol? thanks very much!!

DavidJN · January 13th, 2013, 3:16 pm

It is considered bad form to post the same question on multiple forums.

dlwl · January 14th, 2013, 1:05 am

Hi David, i am very sorry about it. i will not do it again. thanks.