Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model

DOI10.1016/j.crma.2006.09.029zbMath1134.91021OpenAlexW2074770405MaRDI QIDQ857097

Archil Gulisashvili, Elias M. Stein

Publication date: 14 December 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2006.09.029

Mathematics Subject Classification ID

Related Items (11)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models ⋮ On dependence of volatility on return for stochastic volatility models ⋮ THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS ⋮ ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I ⋮ EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL ⋮ IMPLIED VOLATILITY IN THE HULL-WHITE MODEL ⋮ The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options ⋮ Small-\(t\) expansion for the Hartman-Watson distribution

Cites Work

• The integral of geometric Brownian motion
• On some exponential functionals of Brownian motion
• On the integral of geometric Brownian motion
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Exponential functionals of Brownian motion and related processes
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• Unnamed Item

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