Pricing Option on Jump Diffusion and Stochastic Interest Rates Model

Bo Peng; Zhi Hui Wu

doi:10.4028/www.scientific.net/AMM.50-51.723

Paper Titles

Existence of Positive Solution for Multi-Point Sturm-Liouville Boundary Value Problem
p.704

New Harmonious Development of the College Sports Game Status and Strategic Thinking
p.709

The Unbiased Estimator Based on the Function of Poisson Population
p.713

The Equivalence of Mann and Implicit Mann Iterations for Uniformly Pseudocontractive Mappings in Uniformly Smooth Banach Spaces
p.718

Pricing Option on Jump Diffusion and Stochastic Interest Rates Model
p.723

Study on the Effect Factors of Non-Perormance Loan Ratio of Chinese Commerical Banks
p.728

Research on Generalized Green Computing
p.733

Study on the Collective Effect of Industrial Clusters
p.738

Research on Discipline Evolution in Local University Based on Ant Colony Algorithm
p.742

HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 50-51Pricing Option on Jump Diffusion and Stochastic...

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.

You might also be interested in these eBooks

Intelligent Structure and Vibration Control

View Preview

Info:

Periodical:

Applied Mechanics and Materials (Volumes 50-51)

Pages:

723-727

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.50-51.723

Citation:

Cite this paper

Online since:

February 2011

Authors:

Bo Peng, Zhi Hui Wu

Keywords:

European Bi-Direction Option, Jump Diffusion, Martingale, Stochastic Interest Rates

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] F. Black, M. Scholes: The Pricing of Options and Corporate Liabilities, edited by Journal of Political Economy (1973).

Google Scholar

[2] R.C. Merton: Option pricing when underlying stock return are discontinuous, edited by Journal of Economy(1976).

Google Scholar

[3] Margrabe W: The Value of Option to Exchange one Asset for another, edited by Journal of Finance, Vol. 1 (1978), pp.177-186.

DOI: 10.1111/j.1540-6261.1978.tb03397.x

Google Scholar

[4] Martin Schweizer: Option heading for semi-martingales, edited by Stochastic processes and their Applications, Vol. 37 (1991), pp.339-360.

Google Scholar

[5] Knut K, Aase: Contingent claims valuation when the security price is combination of an ito process and a random point process, edited by Stochastic processes and their Applications, Vol. 28 (1998), pp.185-220.

DOI: 10.1016/0304-4149(88)90096-8

Google Scholar

[6] Chan T: Pricing contingent claims on stocks driven by Levy processes, edited by Annals of Appl Prob, Vol. 9(1999), pp.504-528.

Google Scholar

[7] Marek Musiela, Marek Rutkowski: Martingale Methods in Financial Modelling, New York, Springer, (2007).

Google Scholar

[8] Steven E. Shreve: Stochastic Calculus for Finance Continuous-Time Models, New York, Springer, (2007).

Google Scholar