ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I

DOI10.1111/j.1467-9965.2010.00406.xzbMath1198.91247OpenAlexW1538365035MaRDI QIDQ3576957

Elias M. Stein, Archil Gulisashvili

Publication date: 3 August 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00406.x

zbMATH Keywords

asymptotic formulasAsian optionsHull-White modelmixing distribution densitystock price distribution density

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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