Articlebronze2009

IMPLIED VOLATILITY IN THE HULL–WHITE MODEL

23 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

We study the implied volatility K ↦ I ( K ) in the Hull–White model of option pricing, and obtain asymptotic formulas for this function as the strike price K tends to infinity or zero. We also prove that the function I is convex near zero and concave near infinity, and characterize the behavior of the first two derivatives of this function.

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References

1987The Pricing of Options on Assets with Stochastic Volatilities 2000Derivatives in Financial Markets with Stochastic Volatility 2006The Volatility Surface: A Practitioner's Guide 2006Moment explosions in stochastic volatility models 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES 1998Complete Models with Stochastic Volatility 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 2004Computing the implied volatility in stochastic volatility models

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