Paper Title:
Pricing Option on Jump Diffusion and Stochastic Interest Rates Model
  Abstract

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.

  Info
Periodical
Edited by
Shaobo Zhong, Yimin Cheng and Xilong Qu
Pages
723-727
DOI
10.4028/www.scientific.net/AMM.50-51.723
Citation
B. Peng, Z. H. Wu, "Pricing Option on Jump Diffusion and Stochastic Interest Rates Model", Applied Mechanics and Materials, Vols. 50-51, pp. 723-727, 2011
Online since
February 2011
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