<P>用hull-white模型来对一个3-Month libor cap定价</P>
<P>现在已知hull-white模型的volatility是0.01，，那么怎么求每个caplet的volatility??具体题目如下：</P>
<P>consider 3-month libor cap with 5 years to maturity and strike of 6%.</P>
<P>assume the underlying libor curve to be flat at 4% compounded quartly.</P>
<P>price the cap using hull-white model with mean reversion of 2.5% and sigma volatilty parameter of 0,01.</P>
<P>谢谢！！</P>