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

DOI10.1016/J.CRMA.2006.09.029zbMATH Open1134.91021OpenAlexW2074770405MaRDI QIDQ857097FDOQ857097

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

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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)

Cites Work

• The integral of geometric Brownian motion
• On some exponential functionals of Brownian motion
• Title not available (Why is that?)
• Stock price distributions with stochastic volatility: an analytic approach
• 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
• Title not available (Why is that?)
• On 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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