Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model

被引：1

作者：

Peng, Bo ^{[1
]}

机构：

[1] Zhejiang Wanli Univ, Inst Math, Ningbo 315100, Zhejiang, Peoples R China

来源：

EMERGING SYSTEMS FOR MATERIALS, MECHANICS AND MANUFACTURING | 2012年 / 109卷

关键词：

jump diffusion; renewal process; stochastic interest rates; martingale; Capped Calls; Deductible Calls; European bi-direction option;

D O I：

10.4028/www.scientific.net/AMM.109.405

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

This paper assumes that jump process in underlying assets-stock price is more common than Poisson process and derive the pricing formulas of some exotic options under the stochastic interest rates by martingale method with the risk-neutral hypothesis.

引用

页码：405 / 409

页数：5