Consider the HullWhite volatility process: In the chapter, we worked under the simplifying assumption (as per Hull

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Consider the Hull–White volatility process:

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In the chapter, we worked under the simplifying assumption (as per Hull and White’s original paper), that the variance and stock processes were uncorrelated. Now consider the more general case

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Derive an integral expression for the undiscounted price of a call by considering the distribution of the stock conditional on realised variance.

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

ISBN: 9781848167728,9781908979582

1st Edition

Authors: George Kaye

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Question Posted: Sep 19, 2024 11:02 PM

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Consider the HullWhite volatility process: In the chapter, we worked under the simplifying assumption (as per Hull

Question:

dSt dt++dW St dVt Adt +dW Vt V = 0

Step by Step Answer:

The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

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