Option Pricing Under Stochastic Interest Rates
Автор: Haowen Fang
Журнал: International Journal of Engineering and Manufacturing(IJEM) @ijem
Статья в выпуске: 3 vol.2, 2012 года.
Бесплатный доступ
This paper reviews the research history of option pricing, then our model assumes that the interest rate subject to a given Vasicek stochastic differential equations, using option pricing by martingale method to study the stochastic interest rate model of European option pricing and obtain the pricing formula. Finally, we compare the differences between the standard European option pricing formulas and European option pricing formula under stochastic interest rate.
Option Pricing, Stochastic Interest Rates, Vasicek model, Brownian motions
Короткий адрес: https://sciup.org/15014316
IDR: 15014316
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