Estimate mean reversion parameter in hull white model?? - wilmott.com

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flower2222: Posts: 0; Joined: July 27th, 2006, 7:21 am

Estimate mean reversion parameter in hull white model??

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#1

August 2nd, 2006, 2:53 pm

dr=(mu-a*r)dt+sigma*dwhow to calibrate a in real market? dose anyone have any idea?


DavidJN: Posts: 270; Joined: July 14th, 2002, 3:00 am

Estimate mean reversion parameter in hull white model??

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#2

August 3rd, 2006, 11:11 am

Use the search facility on this website and the keyword "calibration". You will find lots of information on how to do this.