Option price decomposition in spot-dependent volatility models and some applications


In this talk, we show a Hull and White price decomposition formula proved by Merino and Vives (2017) for a general local volatility model. We apply the obtained formula to CEV model. We further derive an approximation for the... [ view full abstract ]


  1. Raúl Merino (University of Barcelona)
  2. Josep Vives (Universitat de Barcelona)

Topic Areas

Numerical Methods , Stochastic Analysis


TH-P-SY » Volatility (14:30 - Thursday, 19th July, Synge)

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