Hull and White and Al\`os type formulas for barrier options in stochastic volatility models with nonzero correlation
Pricing of Securities
2022-06-01 v3
Abstract
Two novel closed-form formulas for the price of barrier options in stochastic volatility models with zero interest rate and dividend yield but nonzero correlation between the asset and its instantaneous volatility are derived. The first is a Hull and White type formula, and the second is a decomposition formula similar in form to the Al\`os decomposition for vanilla options. A model-free approximation is also given.
Keywords
Cite
@article{arxiv.2205.05489,
title = {Hull and White and Al\`os type formulas for barrier options in stochastic volatility models with nonzero correlation},
author = {Frido Rolloos},
journal= {arXiv preprint arXiv:2205.05489},
year = {2022}
}
Comments
There is an error in the proof(s) of the main result(s)