Expressions of forward starting option price in Hull-White stochastic volatility model

DOI10.1007/s10203-021-00343-wzbMath1492.91375OpenAlexW3186539762MaRDI QIDQ2145694

Nien-Lin Liu, Kazuhiro Yasuda, Hiroaki Hata

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-021-00343-w

zbMATH Keywords

asymptotic expansionHull-White stochastic volatility modelforward starting optionYor's formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
• Introduction to Malliavin Calculus
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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