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The Admissible Mean Values of a Stochastic Process

โœ Scribed by T. S. Pitcher

Book ID
125674058
Publisher
American Mathematical Society
Year
1963
Tongue
English
Weight
907 KB
Volume
108
Category
Article
ISSN
0002-9947

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โœ Sotirios Sabanis ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 130 KB

## Abstract This article employs an approach that is an extension of the Hull and White (1987) model, for pricing European options under the assumption of a mean reverting volatility for the underlying asset. The approach uses a Taylor series expansion method to approximate the price of a European