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

Alòs, ElisaUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262004-02-01Finance and Stochastics, 10, 353-365, 2006http://hdl.handle.net/10230/568By 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsA generalization of Hull and White formula and applications to option pricing approximationinfo:eu-repo/semantics/workingPapercontinuous-time option pricing modelstochastic volatilitymalliavin calculusStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess