Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: The Hull-White model

被引：13
作者：
Gulisashvili, Archil [1 ]
Stein, Elias M.
机构：
[1] Ohio Univ, Dept Math, Athens, OH 45701 USA
[2] Princeton Univ, Dept Math, Princeton, NJ 08540 USA
来源：
COMPTES RENDUS MATHEMATIQUE | 2006年 / 343卷 / 08期
关键词：
D O I：
10.1016/j.crma.2006.09.029
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In the present Note, we study the asymptotic behavior of the distribution density of the stock price process in the Hull-White model. The leading terms in the asymptotic expansions at zero and infinity are found for such a density and the corresponding error estimates are given. Similar problems are solved for time averages of the volatility process, which are also of interest in the study of Asian options.
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页码：519 / 523
页数：5
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