An Empirical Test of the Hull-White Option Pricing Model: A Correction
5 Pages Posted: 4 Nov 2003
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: Suggested Citation