Asymptotic behavior of the distribution of the stock price in the Hull-White model
by A. Gulisashvili (Dep. Mathematics Ohio University)
The Hull-White model is one of the standard stock price models with stochastic volatility. We characterize the asymptotic behavior of the distribution density of the stock price process at zero and infinity and give error estimates. Similar problems are solved for time averages of the volatility process. This is a joint work with E. M. Stein.