A generalization of the Hull and White formula with applications to option pricing approximation
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Publication:854283
DOI10.1007/s00780-006-0013-5zbMath1101.60044OpenAlexW3124342673MaRDI QIDQ854283
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
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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