IMPLIED VOLATILITY IN THE HULL–WHITE MODEL

Archil Gulisashvili and Elias M. Stein

Mathematical Finance, 2009, vol. 19, issue 2, 303-327

Abstract: We study the implied volatility K↦I(K) in the Hull–White model of option pricing, and obtain asymptotic formulas for this function as the strike price K tends to infinity or zero. We also prove that the function I is convex near zero and concave near infinity, and characterize the behavior of the first two derivatives of this function.

Date: 2009
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https://doi.org/10.1111/j.1467-9965.2009.00368.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:19:y:2009:i:2:p:303-327

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