An Empirical Test of the Hull-White Option Pricing Model : A Correction

Corrado and Su (1998) implemented the stochastic volatility model of Hull and White (1988) for a particular case where variance is equal to its long-term mean. This note provides a slight correction to the series expansion derived by Corrado and Su (1998) and proposes a simulation to display the effect of this error

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Year of publication:	[2015]
Authors:	Aboura, Sofiane
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.459640 [DOI]
Classification:	C13 - Estimation ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012708194