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

2011 ◽  
Vol 109 ◽  
pp. 405-409
Author(s):  
Bo Peng
Keyword(s):  
Interest Rates ◽  
Poisson Process ◽  
Stock Price ◽  
Jump Process ◽  
Jump Diffusion ◽  
Martingale Method ◽  
Exotic Options ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Risk Neutral

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.

Pricing Option on Jump Diffusion and Stochastic Interest Rates Model

2011 ◽  
Vol 50-51 ◽  
pp. 723-727
Author(s):  
Bo Peng ◽  
Zhi Hui Wu
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Special Kind ◽  
Jump Process ◽  
Jump Diffusion ◽  
Time Interval ◽  
Martingale Method ◽  
Stochastic Interest Rates ◽  
Stochastic Interest ◽  
Jump Diffusion Model

This paper assumed that the stock price jump process for a special kind of renewal jump process, that is incident time interval for independent and subordinate to Gamma distribution random variable sequence. We obtain the European bi-direction option pricing formulas on jump diffusion model under the stochastic interest rates by simply mathematical induce by means of martingale method.

Sign in / Sign up

Export Citation Format

Share Document