IMPLIED VOLATILITY IN THE HULL-WHITE MODEL

DOI10.1111/J.1467-9965.2009.00368.XMaRDI QIDQ3393973zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic formulasimplied volatilityHull-White modeldistribution densitiesimplied total variance

Mathematics Subject Classification ID

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

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Cites work

• 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
• Complete Models with Stochastic Volatility
• Computing the implied volatility in stochastic volatility models
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The pricing of options on assets with stochastic volatilities

Cited in

(17)

• Risk premiums in a simple market model for implied volatility
• 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?
• Implied volatility and skewness surface
• Volatility has to be rough
• 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
• Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
• Monotonicity of implied volatility for perpetual put options
• 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

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