Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model
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.
Yongping Zhang, Linhua Zhou and Elwin Mao
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