Hull and White and Al\`os type formulas for barrier options in stochastic volatility models with nonzero correlation

Frido Rolloos

Papers from arXiv.org

Abstract: Two novel closed-form formulas for the price of barrier options in stochastic volatility models with zero interest rate and dividend yield but nonzero correlation between the asset and its instantaneous volatility are derived. The first is a Hull and White type formula, and the second is a decomposition formula similar in form to the Al\`os decomposition for vanilla options. A model-free approximation is also given.

Date: 2022-04, Revised 2022-05
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2205.05489 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2205.05489

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().