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Wang, X., Wang, L. and Zhai, A. (2007) Research on the Black-Scholes Stock Put Option Model Based on Dynamic Investment Strategy. 2007 International Conference on Wireless Communications, Networking and Mobile Computing, Shanghai, 21-25 September 2007, 4128-4131. https://doi.org/10.1109/WICOM.2007.1020

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.