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Cited by 3,807

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

The Pricing of Options on Assets with Stochastic Volatilities

HULL, JOHN, WHITE, ALAN·1987·The Journal of Finance
DOI 10.1111/j.1540-6261.1987.tb02568.x
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Abstract

One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.

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Crossref · 10.1111/j.1540-6261.1987.tb02568.x

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Metadata

Authors
HULL, J., & WHITE, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
1987-06
Volume
42
Issue
2
Pages
281-300
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1987.tb02568.x
OpenAlex
W2148080284
Cited by
3,807
References
1
FWCI
30.54
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Pricing of Options on Assets with Stochastic Volatilities. https://app.cochat.ai/papers/10.1111/j.1540-6261.1987.tb02568.x
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HULL, J., & WHITE, A. (1987). The Pricing of Options on Assets with Stochastic Volatilities. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1987.tb02568.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.