PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA-FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA

被引：1

作者：

Alghalith, Moawia ^{[1
]}

机构：

[1] UWI, St Augustine, Trinidad Tobago

来源：

ANNALS OF FINANCIAL ECONOMICS | 2021年 / 16卷 / 01期

关键词：

Option pricing; stochastic interest rate; closed-form solution; the Black-Scholes PDE; VOLATILITY; MODEL;

D O I：

10.1142/S2010495221500032

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Assuming a stochastic interest rate, we introduce a simple formula for pricing European options. In doing so, we provide a complete closed-form formula that does not require any numerical/computational methods. Furthermore, the model and formula are far simpler than the previous models/formulas. Our formula is as simple as the classical Black-Scholes pricing formula. Moreover, it removes the theoretical limitation of the original Black-Scholes model without any added practical complexity.

引用

页数：4

共 13 条

[1]

Abudy M., 2013, International Journal of Portfolio Analysis and Management, V1, P250

[2] Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods [J].