Hull-White 2 Factor Calibration
Posted: October 13th, 2005, 1:05 pm
Hi, I am looking for some literature on the Hull and White 2 Factor calibration that would discuss in detail the questions like the following:- how mean reversion parameter affects the price of a Bermudan? (e.g. the higher the mean reversion - the higher is the value of the option)- how going from 1 to 2 factors affects the option prices? (e.g. options prices should come down)- what is a typical term structure of sigmas (e.g. sigmas decrease over time)- what is a typical correlation (e.g. negative)Thanks, Michael