Pricing Option on Jump Diffusion and Stochastic Interest Rates Model

Abstract:

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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.

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Periodical:

Edited by:

Shaobo Zhong, Yimin Cheng and Xilong Qu

Pages:

723-727

DOI:

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

Citation:

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

Online since:

February 2011

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$35.00

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