Implied volatility in the hull-white model

Abstract

We study the implied volatility K → I(K) in the Hull-White model of option pricing, and obtain asymptotic formulas for this function as the strike price K tends to infinity or zero. We also prove that the function I is convex near zero and concave near infinity, and characterize the behavior of the first two derivatives of this function. © 2009 Wiley Periodicals, Inc.