Title :
Applying the Stochastic Interest Rates to Solve the Jump-Diffusion Contingent Claims Pricing
Author :
Yang Xiu-ni ; Su Jun
Author_Institution :
Sch. of Sci., Xi´an Univ. of Sci. & Technol., Xi´an, China
Abstract :
In this paper, by modifying price behavior of risk asset and considering randomization of interest rates, broaden the two basic assumptions of Black-Scholes option pricing model. By martingale method, pricing formulas of European call option and put option, and parity are deduced, and finally the pricing formula of European option is also given based on the risk asset paying continuous dividends.
Keywords :
pricing; stochastic processes; Black-Scholes option pricing model; European call option; European put option; continuous dividends; jump-diffusion contingent claims pricing; martingale method; parity; price behavior; pricing formulas; risk asset; stochastic interest rates; Economic indicators; Europe; Finance; Pricing; Security; Stochastic processes;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998750
