An Empirical Test of the Hull-White Option Pricing Model: A Correction

5 Pages Posted: 4 Nov 2003

See all articles by Sofiane Aboura

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Abstract

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.

JEL Classification: C13, G13

Suggested Citation

Aboura, Sofiane, An Empirical Test of the Hull-White Option Pricing Model: A Correction. Available at SSRN: https://ssrn.com/abstract=459640 or http://dx.doi.org/10.2139/ssrn.459640

Sofiane Aboura (Contact Author)

Université Paris XIII Nord - Department of Economics and Management ( email )

99 avenue Jean-Baptiste
Clément, Villetaneuse 93430
France

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