A generalization of the Hull and White formula with applications to option pricing approximation-Reference-Cited by-同舟云学术

A generalization of the Hull and White formula with applications to option pricing approximation

Published:2006-08-10 Issue:3 Volume:10 Page:353-365
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Alòs Elisa

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-006-0013-5.pdf

Reference16 articles.

1. Alòs E., Nualart D. (1998) An extension of Itô’s formula for anticipating processes. J. Theor. Prob. 11, 493–514

2. Ball C.A., Roma A. (1994) Stochastic volatility option pricing. J. Financ. Quant. Anal. 29, 589–607

3. Comte F., Coutin L., Renault E.: Affine fractional stochastic volatility models with application to option pricing. Preprint http://www.cireq.umontreal.ca/activites/031107/0311renault.pdf (2003)

4. Comte F., Renault E. (1998) Long memory in continuous-time stochastic volatility models. Math. Financ. 8, 291–323

5. Fouque J.-P., Papanicolaou G., Sircar K.R. (2000) Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, Cambridge

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