Ghorbani, N. and Korzeniowski, A. (2020) Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates. Journal of Mathematical Finance, 10, 697-704.
https://doi.org/10.4236/jmf.2020.104040

has been cited by the following article:

• TITLE: Put Options with Linear Investment for Hull-White Interest Rates

  AUTHORS: Andrzej Korzeniowski, Niloofar Ghorbani

  KEYWORDS: European Put Option, Linear Stock Investment Strategy, Zero-Coupon Bond, Change of Numeraire, T-Forward Measure, Hull-White Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.1, February 26, 2021

  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.