Fractional Jump-diffusion Pricing Model under Stochastic Interest Rate

被引：0

作者：

Xue, Hong ^{[1
]}

Lu, Junxiang ^{[1
]}

Li, Qiaoyan ^{[1
]}

Wang, Xiaodong ^{[1
]}

机构：

[1] Xian Polytech Univ, Sch Sci, Xian 710048, Peoples R China

来源：

INFORMATION AND FINANCIAL ENGINEERING, ICIFE 2011 | 2011年 / 12卷

关键词：

option pricing; actuarial method; fractional jump-diffusion process; stochastic interest rate; FINANCE;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The fractional jump-diffusion financial market model under stochastic interest rate is built, where stock price satisfies the fractional jump-diffusion process, and interest rate satisfies the fractional Hull White model. By mean of the physical probabilistic measure of price process, the principle of fair premium, and fractional jump-diffusion process theory, the pricing formulae of European option are obtained. The European option pricing model is generalized.

引用

页码：428 / 432

页数：5

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