A generalization of the Hull and White formula with applications to option pricing approximation

DOI10.1007/s00780-006-0013-5zbMath1101.60044MaRDI QIDQ854283

Elisa Alòs

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0013-5

zbMATH Keywords

stochastic volatility; Malliavin calculus; continuous-time option pricing model

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

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

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Malliavin differentiability of the Heston volatility and applications to option pricing, Pricing options under stochastic volatility: a power series approach, Exchange option pricing under stochastic volatility: a correlation expansion, 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, On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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