IMPLIED VOLATILITY IN THE HULL-WHITE MODEL

DOI10.1111/j.1467-9965.2009.00368.xzbMath1168.91360MaRDI 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

zbMATH Keywords

asymptotic formulas; implied volatility; distribution densities; Hull-White model; implied total variance

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

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