IMPLIED VOLATILITY IN THE HULL-WHITE MODEL

DOI10.1111/j.1467-9965.2009.00368.xzbMath1168.91360OpenAlexW2109314722MaRDI QIDQ3393973

Archil Gulisashvili, Elias M. Stein

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00368.x

zbMATH Keywords

asymptotic formulasimplied volatilitydistribution densitiesHull-White modelimplied total variance

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (9)

ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models ⋮ ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I ⋮ Implied Volatility of Leveraged ETF Options ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model

Cites Work

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• Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
• Computing the implied volatility in stochastic volatility models
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Complete Models with Stochastic Volatility
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

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