Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa
Autor/es:
Elisa Alòs;
Resumen :
By means of Malliavin Calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the noise driving the volatility process is correlated with the noise driving the stock prices. This extension will allow us to construct option pricing approximation formulas. Numerical examples are presented.
