![](/images/graphics-bg.png)
A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility
Joint Authors
Alòs, Elisa
León, Jorge A.
Vives, Josep
Pontier, Monique
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-02-10
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We obtain a Hull and White type formula for a general jump-diffusion stochastic volatility model, where the involved stochastic volatility process is correlated not only with the Brownian motion driving the asset price but also with the asset price jumps.
Towards this end, we establish an anticipative Itô's formula, using Malliavin calculus techniques for Lévy processes on the canonical space.
As an application, we show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew.
American Psychological Association (APA)
Alòs, Elisa& León, Jorge A.& Pontier, Monique& Vives, Josep. 2009. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2008, no. 2008, pp.1-17.
https://search.emarefa.net/detail/BIM-465680
Modern Language Association (MLA)
Alòs, Elisa…[et al.]. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility. Journal of Applied Mathematics and Stochastic Analysis No. 2008 (2008), pp.1-17.
https://search.emarefa.net/detail/BIM-465680
American Medical Association (AMA)
Alòs, Elisa& León, Jorge A.& Pontier, Monique& Vives, Josep. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility. Journal of Applied Mathematics and Stochastic Analysis. 2009. Vol. 2008, no. 2008, pp.1-17.
https://search.emarefa.net/detail/BIM-465680
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-465680