Which is the the standard model to determine implieds on Bund options?
Being US-style exercise, Black or Black-Scholes are inappropriate.
All things considered, the Hull and White model, utilising trinomial trees, seems the favourite but also appears somewhat complex to my non-mathematical mind.
Any suggestions?
Thank you.
Grant
Being US-style exercise, Black or Black-Scholes are inappropriate.
All things considered, the Hull and White model, utilising trinomial trees, seems the favourite but also appears somewhat complex to my non-mathematical mind.
Any suggestions?
Thank you.
Grant