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

Recommendations

• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model
• scientific article; zbMATH DE number 1517499
• Analytically tractable stochastic stock price models.

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 (11)

• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Two-Sided Estimates for Distribution Densities in Models with Jumps
• The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
• THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS
• Small-\(t\) expansion for the Hartman-Watson distribution
• On dependence of volatility on return for stochastic volatility models
• 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

This page was built for publication: Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q857097)