Serving the Quantitative Finance Community
-
- jamaicaman
- Posts: 0
- Joined:
Black-Scholes with Stochastic Intrerest Rates
When interest rates are assumed to be stochastic Black Scholes framework still holds for pricing vanilla european equity puts/calls. Obviously using stochastic rates vs. constant rate leads to different prices or alternatively different implied volatilities.Would you be so kind to point me to a paper that shows a closed form solution for the volatility adjustment factor when rates follow Hull-White 1 factor model?
Last edited by jamaicaman on March 17th, 2008, 11:00 pm, edited 1 time in total.
Black-Scholes with Stochastic Intrerest Rates
It is in Appendix B in the book of Brigo & Mercurio.