Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model

DOI10.1016/J.CRMA.2006.09.029MaRDI QIDQ857097zbMATH OpenOpenAlexFDO

Authors Archil Gulisashvili, Elias M. Stein

Publication date 14 December 2006

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2006.09.029

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
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Cites work

• scientific article; zbMATH DE number 1163907 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• Exponential functionals of Brownian motion and related processes
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
• On some exponential functionals of Brownian motion
• On the integral of geometric Brownian motion
• Stock price distributions with stochastic volatility: an analytic approach
• The integral of geometric Brownian motion

Cited in

(13)

• The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Two-Sided Estimates for Distribution Densities in Models with Jumps
• Large deviation principle for Volterra type fractional stochastic volatility models
• Application of the Heston and Hull-White models to German Dax data
• Small-\(t\) expansion for the Hartman-Watson distribution
• On dependence of volatility on return for stochastic volatility models
• 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
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
• Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
• The large-maturity smile for the SABR and CEV-Heston models

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