IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
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Publication:3393973
DOI10.1111/J.1467-9965.2009.00368.XzbMATH Open1168.91360OpenAlexW2109314722MaRDI QIDQ3393973FDOQ3393973
Authors: 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
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Cites Work
- Complete Models with Stochastic Volatility
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- The pricing of options on assets with stochastic volatilities
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- Computing the implied volatility in stochastic volatility models
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
Cited In (17)
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?
- Volatility has to be rough
- Implied volatility and skewness surface
- Two-Sided Estimates for Distribution Densities in Models with Jumps
- Shapes of implied volatility with positive mass at zero
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
- Monotonicity of implied volatility for perpetual put options
- Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
- Implied volatility of leveraged ETF options
- On the harmonic mean representation of the implied volatility
- General smile asymptotics with bounded maturity
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
- Risk premiums in a simple market model for implied volatility
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