RecordNumber
12
Author
Archil Gulisashvili, Elias M. Stein
Title of Article
Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull–White model
Title Of Journal
Comptes Rendus Mathematique
PublishInfo
Elsevier
Publication Year
2006
Volum
343
Issue Number
8
Page
519-523
Notes
براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
Abstract
In the present Note, we study the asymptotic behavior of the distribution density of the stock price process in the Hull–White model. The leading terms in the asymptotic expansions at zero and infinity are found for such a density and the corresponding error estimates are given. Similar problems are solved for time averages of the volatility process, which are also of interest in the study of Asian options
URL
http://www.sciencedirect.com/science/article/pii/S1631073X06003852,/DL/Data Entry/DataEntryForm/EnterDocInfo.aspx,/DL/Data Entry/NewEdit/Documents/Math_English_Electronic_Articles_EditDoc_925.aspx