Journal of Mathematical Finance

Volume 11, Issue 1 (February 2021)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 0.87  Citations  h5-index & Ranking

Put Options with Linear Investment for Hull-White Interest Rates

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DOI: 10.4236/jmf.2021.111007    662 Downloads   1,967 Views  Citations

ABSTRACT

We derive a Put Option price associated with selling strategy of the underlying security in a random interest rate environment. This extends Put Option pricing under linear investment strategy from the Black-Scholes setting to Hull-White stochastic interest rate model. As an application, Call Option price for the linear investment strategy in the Hull-White model is established. Our results address recent emergence of developing dynamic investment strategies for the purpose of reducing the investor risk exposure associated with European-type options.

Share and Cite:

Korzeniowski, A. and Ghorbani, N. (2021) Put Options with Linear Investment for Hull-White Interest Rates. Journal of Mathematical Finance, 11, 152-162. doi: 10.4236/jmf.2021.111007.

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