DocumentCode
2974493
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
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998750
Filename
5998750
Link To Document