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  • Search: subject:"Hull and White formula"
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Year of publication
Subject
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Hull and White formula 2 Malliavin calculus 2 Cox- Ingersoll-Ross process 1 Heston model 1 Ito’s formula for the Skorohod integral 1 Option pricing 1 jumpdiffusion stochastic volatility models 1 stochastic volatility models 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
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Alos, Elisa 1 Alòs, Elisa 1 Ewald, Christian-Oliver 1 León, Jorge A. 1 Pontier, Monique 1 Vives, Josep 1
Institution
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Department of Economics and Business, Universitat Pompeu Fabra 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 MPRA Paper 1
Source
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RePEc 2
Showing 1 - 2 of 2
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - Department of Economics and Business, Universitat … - 2008
-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use …
Persistent link: https://www.econbiz.de/10005772513
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Cover Image
Malliavin differentiability of the Heston volatility and applications to option pricing
Alos, Elisa; Ewald, Christian-Oliver - Volkswirtschaftliche Fakultät, … - 2007
We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model. Furthermore we...
Persistent link: https://www.econbiz.de/10005621755
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