A generalization of Hull and White formula and applications to option pricing approximation
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- dc.contributor.author Alòs, Elisaca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:08:01Z
- dc.date.available 2017-07-26T12:08:01Z
- dc.date.issued 2004-02-01
- dc.date.modified 2017-07-23T02:08:25Z
- dc.description.abstract By 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.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=740
- dc.identifier.citation Finance and Stochastics, 10, 353-365, 2006
- dc.identifier.uri http://hdl.handle.net/10230/568
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 740
- dc.rights L'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.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword continuous-time option pricing model
- dc.subject.keyword stochastic volatility
- dc.subject.keyword malliavin calculus
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title A generalization of Hull and White formula and applications to option pricing approximationca
- dc.type info:eu-repo/semantics/workingPaper