Paper Title:
Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model
  Abstract

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.

  Info
Periodical
Chapter
Chapter 4: Manufacturing and Mechanics Engineering
Edited by
Yongping Zhang, Linhua Zhou and Elwin Mao
Pages
405-409
DOI
10.4028/www.scientific.net/AMM.109.405
Citation
B. Peng, "Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model", Applied Mechanics and Materials, Vol. 109, pp. 405-409, 2012
Online since
October 2011
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Price
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