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

Abstract:

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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:

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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$35.00

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