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Use this identifier to quote or link this document: http://hdl.handle.net/2072/884

Title:	A Generalization of Hull and White Formula and Applications to Option Pricing Approximation
Author:	Alós, Elisa
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	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 noise driving the volatility process is correlated with the noise driving the stock prices. This extension will allow us to construct option pricing approximation formulas. Numerical examples are presented.
Creation date:	2004-02-01
Subject(s):	Continuous-time option pricing model, stochastic volatility, Malliavin calculus
Rights:	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
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