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IMPLIED VOLATILITY IN THE HULL–WHITE MODEL |
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| Authors: | Archil Gulisashvili Elias M Stein |
| Institution: | Ohio University; Princeton University |
| Abstract: | We study the implied volatility K ? I ( K ) in the Hull–White model of option pricing, and obtain asymptotic formulas for this function as the strike price K tends to infinity or zero. We also prove that the function I is convex near zero and concave near infinity, and characterize the behavior of the first two derivatives of this function. |
| Keywords: | Hull–White model implied volatility asymptotic formulas distribution densities implied total variance |