Paper #740

Título:

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

Autor:

Elisa Alòs

Data:

Febrero 2004

Resumen:

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.

Palabras clave:

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

Códigos JEL:

G130

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

Finance and Stochastics, 10, 353-365, 2006

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