Hull-White模型下欧式互换期权定价

European swaption pricing under Hull-White model

采用Hull-White模型,通过Crank-Nicolson有限差分法来对欧式互换期权进行分析和定价,从相对常见的衍生品的定义和定价模型出发,最终给出欧式互换期权的定价结果.

Using Hull - White model, analyzes and prices european swaption via Crank - Nicolson finite differ-ence method. The definitions and pricing model of relatively common derivatives are introduced to get the resultof european swaption valuation.