IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
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Publication:3393973
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
asymptotic formulas; implied volatility; distribution densities; Hull-White model; implied total variance
91B24: Microeconomic theory (price theory and economic markets)
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