Applying the Stochastic Interest Rates to solve the Jump-Diffusion Contingent Claims Pricing

摘要：

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.

作者: Yang Xiu-ni Su Jun

作者单位: School of Science,Xi’an University of Science and Technology,Xi’an, P.R.China, 710054 School of Science, Xi’an University of Science and Technology, Xi’an, P.R.China, 710054

会议类型: 国际会议

会议名称: International Conference on Management and Service Science(2011年第五届管理与服务科学国际会议 MASS 2011)

会议地点: 武汉

会议语种:英文

页码: 1-4

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）