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

Bo Peng

doi:10.4028/www.scientific.net/AMM.109.405

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 109Pricing of Some Exotic Options under Jump...

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.

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Periodical:

Applied Mechanics and Materials (Volume 109)

Pages:

405-409

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.109.405

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Online since:

October 2011

Authors:

Bo Peng

Keywords:

Capped Calls, Deductible Calls, European Bi-Direction Option, Jump Diffusion, Martingale, Renewal Process, Stochastic Interest Rates

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References

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