A generalization of the Hull and White formula with applications to option pricing approximation
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 volatility and the noise driving the stock prices are correlated. This extension will allow us to describe the effect of correlation on option prices and to derive...
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| Veröffentlicht in: | Finance and stochastics 2006-09, Vol.10 (3), p.353-365 |
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| container_title | Finance and stochastics |
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| creator | Alòs, Elisa |
| description | 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 volatility and the noise driving the stock prices are correlated. This extension will allow us to describe the effect of correlation on option prices and to derive approximate option pricing formulas. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1007/s00780-006-0013-5 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0949-2984 |
| ispartof | Finance and stochastics, 2006-09, Vol.10 (3), p.353-365 |
| issn | 0949-2984 1432-1122 |
| language | eng |
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| source | EBSCOhost Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Approximation Arbitrage Asset valuation Calculus Correlation Decomposition Derivatives Financial theory Interest rates Mathematical models Monte Carlo simulation Option pricing Options markets Random variables Securities prices Stochastic models Stochastic processes Stock prices Studies Volatility |
| title | A generalization of the Hull and White formula with applications to option pricing approximation |
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