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A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa
Universitat Pompeu Fabra. Departament d'Economia i Empresa
By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.
Statistics, Econometrics and Quantitative Methods
continuous-time option pricing model
stochastic volatility
malliavin calculus
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