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

Finance and Stochastics

Volumn 10, Issue 3, 2006, Pages 353-365

  Alòs, Elisa ^a  

^a UNIVERSITAT POMPEU FABRA   (Spain)

Author keywords

Continuous time option pricing model; Malliavin calculus; Stochastic volatility

Indexed keywords

EID: 33747875057     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0013-5     Document Type: Article

References (16)

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