A generalization of the Hull and White formula with applications to option pricing approximation
| Year of publication: |
2006
|
|---|---|
| Authors: | Alòs, Elisa |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 10.2006, 3, p. 353-365
|
| Publisher: |
Springer |
| Subject: | Continuous-time option pricing model | Stochastic volatility | Malliavin calculus |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613393