IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
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Publication:3393973
DOI10.1111/j.1467-9965.2009.00368.xzbMath1168.91360OpenAlexW2109314722MaRDI QIDQ3393973
Archil Gulisashvili, Elias M. Stein
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00368.x
Related Items (9)
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models ⋮ ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I ⋮ Implied Volatility of Leveraged ETF Options ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
Cites Work
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- Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
- Computing the implied volatility in stochastic volatility models
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Complete Models with Stochastic Volatility
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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