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RecordNumber
12
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Author
Archil Gulisashvili, Elias M. Stein
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Title of Article
Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull–White model
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Title Of Journal
Comptes Rendus Mathematique
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PublishInfo
Elsevier
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Publication Year
2006
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Volum
343
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Issue Number
8
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Page
519-523
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Notes
براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
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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
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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
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Link To Document :
