A generalization of Hull and White formula and applications to option pricing approximation

Simple item page
dc.contributor.authorAlòs, Elisaca
dc.contributor.otherUniversitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned2017-07-26T12:08:01Z
dc.date.available2017-07-26T12:08:01Z
dc.date.issued2004-02-01
dc.date.modified2017-07-23T02:08:25Z
dc.description.abstractBy means of Malliavin Calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the noise driving the volatility process is correlated with the noise driving the stock prices. This extension will allow us to construct option pricing approximation formulas. Numerical examples are presented.
dc.format.mimetypeapplication/pdfca
dc.identifierhttps://econ-papers.upf.edu/ca/paper.php?id=740
dc.identifier.citationFinance and Stochastics, 10, 353-365, 2006
dc.identifier.urihttp://hdl.handle.net/10230/568
dc.language.isoeng
dc.relation.ispartofseriesEconomics and Business Working Papers Series; 740
dc.rightsL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.keywordcontinuous-time option pricing model
dc.subject.keywordstochastic volatility
dc.subject.keywordmalliavin calculus
dc.subject.keywordStatistics, Econometrics and Quantitative Methods
dc.titleA generalization of Hull and White formula and applications to option pricing approximationca
dc.typeinfo:eu-repo/semantics/workingPaper

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
740.pdf
Size:
256.95 KB
Format:
Adobe Portable Document Format
Download

Collections

License

Rights