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Closed-form solutions for European and Digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges

Ewald, Christian-Oliver; Schenk-Hoppé, Klaus Reiner; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility model of Hull and White. This result answers a longstanding question, posed by Hull and White (Journal of Finance 42, 1987), whether such an analytic form exists. Our findings...

Persistent link: https://www.econbiz.de/10005858327

Evolutionary stable stock markets

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - In: Economic theory : official journal of the Society for … 27 (2006) 2, pp. 449-468

Persistent link: https://www.econbiz.de/10003222824

Evolutionary stability of portfolio rules in incomplete markets

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - In: Journal of mathematical economics 41 (2005) 1/2, pp. 43-66

Persistent link: https://www.econbiz.de/10002643146

Market selection and survival of investment strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - In: Journal of mathematical economics 41 (2005) 1/2, pp. 105-122

Persistent link: https://www.econbiz.de/10002643194

Evolutionary stability of portfolio rules in incomplete markets

Hens, Thorsten (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001726838

Market selection and survival of investment strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - 2002

Persistent link: https://www.econbiz.de/10001711739

Evolutionary stable stock markets

Evstigneev, Igor V. (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001803442

Evolutionary stable stock markets

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2003

Persistent link: https://www.econbiz.de/10001862897

Market selection and survival of investment strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - 2003

Persistent link: https://www.econbiz.de/10001946087

Evolution of Portfolio Rules in Incomplete Markets

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2001

This paper deals with the the evolution of portfolio rules in markets withstationary returns and endogenous prices.

Persistent link: https://www.econbiz.de/10005846430

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