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dc.contributor | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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dc.contributor.author | Alòs, Elisa |
dc.date | 2004-02-01 |
dc.identifier.citation | https://econ-papers.upf.edu/ca/paper.php?id=740 |
dc.identifier.citation | Finance and Stochastics, 10, 353-365, 2006 |
dc.identifier.uri | http://hdl.handle.net/10230/568 |
dc.format | application/pdf |
dc.language.iso | eng |
dc.relation | Economics and Business Working Papers Series; 740 |
dc.rights | L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons |
dc.rights | info:eu-repo/semantics/openAccess |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | continuous-time option pricing model |
dc.subject | stochastic volatility |
dc.subject | malliavin calculus |
dc.subject | Statistics, Econometrics and Quantitative Methods |
dc.title | A generalization of Hull and White formula and applications to option pricing approximation |
dc.type | info:eu-repo/semantics/workingPaper |
dc.description.abstract |