IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (Q3393973)

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IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
scientific article

    Statements

    title
    IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (English)
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    author
    Archil Gulisashvili
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    Elias M. Stein
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    publication date
    28 August 2009
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    zbMATH Keywords
    Hull-White model
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    implied volatility
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    asymptotic formulas
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    distribution densities
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    implied total variance
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    Identifiers

    zbMATH DE Number
    5599337
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