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Li, M., Wang, X. and Sun, F. (2019) Pricing of Proactive Hedging European Option with Dynamic Discrete Strategy. Discrete Dynamics in Nature and Society, 2019, Article ID 1070873. https://doi.org/10.1155/2019/1070873

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.