Paper #740

Títol:

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

Autor:

Elisa Alòs

Data:

Febrer 2004

Resum:

By means of Malliavin Calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the noise driving the volatility process is correlated with the noise driving the stock prices. This extension will allow us to construct option pricing approximation formulas. Numerical examples are presented.

Paraules clau:

Continuous-time option pricing model, stochastic volatility, Malliavin calculus

Codis JEL:

G130

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Finance and Stochastics, 10, 353-365, 2006

Descarregar el paper en format PDF