摘要翻译：
采用Hull-White单因子模型对利率期权进行定价。模型的参数经常被校准到简单的液体仪器，特别是欧洲交换。因此，对于简单的工具来说，有一个非常有效的定价公式是非常重要的。这里提出了这样一个公式，用于欧洲的互换。基于一种非常有效的校正器型近似，该近似在精度和SPPED方面都是有效的。在我们的实现中，近似比直接定价公式快十倍以上，比Jamshidian技巧快二十倍以上。
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英文标题：
《Efficient swaptions price in Hull-White one factor model》
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作者：
Marc Henrard
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for European swaption. Based on a very efficient corrector type approximation the approximation is efficient both in term of precision and in term of spped. In our implementation the approximation is more than ten time faster than the direct pricing formula and more than twenty time faster than the Jamshidian trick.
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PDF链接：
https://arxiv.org/pdf/0901.1776