{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,27]],"date-time":"2026-06-27T05:59:06Z","timestamp":1782539946354,"version":"3.54.5"},"reference-count":16,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2006,8,10]],"date-time":"2006-08-10T00:00:00Z","timestamp":1155168000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2006,9]]},"DOI":"10.1007\/s00780-006-0013-5","type":"journal-article","created":{"date-parts":[[2006,8,9]],"date-time":"2006-08-09T13:53:32Z","timestamp":1155131612000},"page":"353-365","source":"Crossref","is-referenced-by-count":43,"title":["A generalization of the Hull and White formula with applications to option pricing approximation"],"prefix":"10.1007","volume":"10","author":[{"given":"Elisa","family":"Al\u00f2s","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2006,8,10]]},"reference":[{"key":"13_CR1","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1023\/A:1022692024364","volume":"11","author":"E. Al\u00f2s","year":"1998","unstructured":"Al\u00f2s E., Nualart D. (1998) An extension of It\u00f4\u2019s formula for anticipating processes. J. Theor. Prob. 11, 493\u2013514","journal-title":"J. Theor. Prob."},{"key":"13_CR2","doi-asserted-by":"crossref","first-page":"589","DOI":"10.2307\/2331111","volume":"29","author":"C.A. Ball","year":"1994","unstructured":"Ball C.A., Roma A. (1994) Stochastic volatility option pricing. J. Financ. Quant. Anal. 29, 589\u2013607","journal-title":"J. Financ. Quant. Anal."},{"key":"13_CR3","unstructured":"Comte F., Coutin L., Renault E.: Affine fractional stochastic volatility models with application to option pricing. Preprint http:\/\/www.cireq.umontreal.ca\/activites\/031107\/0311renault.pdf (2003)"},{"key":"13_CR4","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1111\/1467-9965.00057","volume":"8","author":"F. Comte","year":"1998","unstructured":"Comte F., Renault E. (1998) Long memory in continuous-time stochastic volatility models. Math. Financ. 8, 291\u2013323","journal-title":"Math. Financ."},{"key":"13_CR5","volume-title":"Derivatives in Financial Markets with Stochastic Volatility","author":"J.-P. Fouque","year":"2000","unstructured":"Fouque J.-P., Papanicolaou G., Sircar K.R. (2000) Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, Cambridge"},{"key":"13_CR6","doi-asserted-by":"crossref","first-page":"1648","DOI":"10.1137\/S0036139902401550","volume":"63","author":"J.-P. Fouque","year":"2003","unstructured":"Fouque J.-P., Papanicolaou G., Sircar K.R., Solna K. (2003) Singular perturbations in option pricing. SIAM J. Appl. Math. 63, 1648\u20131665","journal-title":"SIAM J. Appl. Math."},{"key":"13_CR7","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"S.L. Heston","year":"1993","unstructured":"Heston S.L. (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6, 327\u2013343","journal-title":"Rev. Financ. Stud."},{"key":"13_CR8","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"42","author":"J.C. Hull","year":"1987","unstructured":"Hull J.C., White A. (1987) The pricing of options on assets with stochastic volatilities. J. Financ. 42, 281\u2013300","journal-title":"J. Financ."},{"key":"13_CR9","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-2437-0","volume-title":"The Malliavin Calculus and Related Topics","author":"D. Nualart","year":"1995","unstructured":"Nualart D. (1995) The Malliavin Calculus and Related Topics. Springer, Berlin Heidelberg New York"},{"key":"13_CR10","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1111\/j.1467-9965.1996.tb00117.x","volume":"6","author":"E. Renault","year":"1996","unstructured":"Renault E., Touzi N. (1996) Option hedging and implicit volatilities in a stochastic volatility model. Math. Financ. 6, 279\u2013302","journal-title":"Math. Financ."},{"key":"13_CR11","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1111\/1467-9965.00038","volume":"7","author":"M. Romano","year":"1997","unstructured":"Romano M., Touzi N. (1997) Contingent claims and market completeness in a stochastic volatility model. Math. Financ. 7, 399\u2013410","journal-title":"Math. Financ."},{"key":"13_CR12","doi-asserted-by":"crossref","first-page":"23","DOI":"10.1023\/A:1009803506170","volume":"3","author":"R. Sch\u00f6bel","year":"1999","unstructured":"Sch\u00f6bel R., Zhu J. (1999) Stochastic volatility with an Ornstein\u2013Uhlenbeck process: An extension. Euro. Financ. Rev. 3, 23\u201346","journal-title":"Euro. Financ. Rev."},{"key":"13_CR13","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","volume":"22","author":"L.O. Scott","year":"1987","unstructured":"Scott L.O. (1987) Option pricing when the variance changes randomly: theory, estimation and application. J. Financ. Quant. Anal. 22, 419\u2013438","journal-title":"J. Financ. Quant. Anal."},{"key":"13_CR14","doi-asserted-by":"crossref","first-page":"727","DOI":"10.1093\/rfs\/4.4.727","volume":"4","author":"E.M. Stein","year":"1991","unstructured":"Stein E.M., Stein J.C. (1991) Stock price distributions with stochastic volatility: an analytic approach. Rev. Financ. Stud. 4, 727\u2013752","journal-title":"Rev. Financ. Stud."},{"key":"13_CR15","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","volume":"19","author":"J.B. Wiggins","year":"1987","unstructured":"Wiggins J.B. (1987) Option values under stochastic volatility: theory and empirical estimates. J. Financ. Econ. 19, 351\u2013372","journal-title":"J. Financ. Econ."},{"key":"13_CR16","doi-asserted-by":"crossref","first-page":"45","DOI":"10.3905\/jod.1997.407982","volume":"5","author":"G.A. Willard","year":"1997","unstructured":"Willard G.A. (1997) Calculating prices and sensitivities for path-independent securities in multifactor models. J. Deriv. 5, 45\u201361","journal-title":"J. Deriv."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-006-0013-5.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-006-0013-5\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-006-0013-5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T06:29:11Z","timestamp":1559111351000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-006-0013-5"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,8,10]]},"references-count":16,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2006,9]]}},"alternative-id":["13"],"URL":"https:\/\/doi.org\/10.1007\/s00780-006-0013-5","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2006,8,10]]}}}