Expressions of forward starting option price in Hull-White stochastic volatility model

DOI10.1007/S10203-021-00343-WzbMATH Open1492.91375OpenAlexW3186539762MaRDI QIDQ2145694FDOQ2145694

Authors: Hiroaki Hata, Nien-Lin Liu, Kazuhiro Yasuda 

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00343-w

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zbMATH Keywords

asymptotic expansionHull-White stochastic volatility modelforward starting optionYor's formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On some exponential functionals of Brownian motion
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Mathematical methods for financial markets.
• Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
• Time dependent Heston model
• On the pricing of forward starting options in Heston's model on stochastic volatility
• Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
• Title not available (Why is that?)
• Introduction to Malliavin Calculus
• Risk-sensitive asset management with lognormal interest rates
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model

Cited In (3)

• Rosenbrock-type methods for solving stochastic differential equations
• Pricing of quanto option under the Hull and White stochastic volatility model
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate

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