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| Hull, John and Alan White, "Numerical procedures for implementing term structure models II: Two-Factor Models", Journal of Derivatives, Vol. 2, No. 2, (Winter 1994), pp. 37-48. Abstract: In the last Journal of Derivatives, Hull and White presented their new approach for building an extremely versatile family of one-factor interest rate tree models. This article shows how to extend the approach to build trees incorporating two correlated factors. This permits pricing of cross-currency derivatives, in which the value depends on single-factor interest rates in two countries and also a family of two-factor term structure models for a single country. [Home] [Related Papers] |  
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