Pricing Option on Jump Diffusion and Stochastic Interest Rates Model
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.
Shaobo Zhong, Yimin Cheng and Xilong Qu
B. Peng and Z. H. Wu, "Pricing Option on Jump Diffusion and Stochastic Interest Rates Model", Applied Mechanics and Materials, Vols. 50-51, pp. 723-727, 2011