An Empirical Test of the Hull-White Option Pricing Model: A Correction
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
Corrado and Su (1998) implemented the stochastic volatility model of Hull and White (1988) for a particular case where variance is equal to its long-term mean. This note provides a slight correction to the series expansion derived by Corrado and Su (1998) and proposes a simulation to display the effect of this error.
Number of Pages in PDF File: 5
JEL Classification: C13, G13working papers series
Date posted: November 4, 2003
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