English, Article, Journal or magazine article edition: A Generalization of Hull and White Formula and Applications to Option Pricing Approximation Elisa Alòs

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Bookmark: http://trove.nla.gov.au/version/153676
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Generalization of Hull and White Formula and Applications to Option Pricing Approximation
Author
  • Elisa Alòs
Physical Description
  • preprint
Notes
  • 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.
  • Continuous-time option pricing model, stochastic volatility, Malliavin calculus
  • RePEc:upf:upfgen:740
Language
  • English
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