@article {Grant54, author = {Dwight M Grant and Gautam Vora}, title = {An Analytical Implementation of the Hull and White Model}, volume = {9}, number = {2}, pages = {54--60}, year = {2001}, doi = {10.3905/jod.2001.319175}, publisher = {Institutional Investor Journals Umbrella}, abstract = {One of the most parsimonious models of interest rate behavior is the {\textquotedblleft}extended Vasicek{\textquotedblright} model of Hull and White. It has only one stochastic factor, but has the flexibility to match the initial term structure in the market, making it arbitrage-free. To build the market term structure into a trinomial valuation lattice, Hull and White{\textquoteright}s implementation of the model involves a search process at each date plus forward induction. In this article, Grant and Vora show how this process may be streamlined considerably by using an analytic solution rather than a search at each date.}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/9/2/54}, eprint = {https://jod.pm-research.com/content/9/2/54.full.pdf}, journal = {The Journal of Derivatives} }