Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate

This paper extends the traditional jump-diffusion model to a comprehensive general Lévy process model with the stochastic interest rate for European-style options pricing. By using the Girsanov theorem and Itô formula, we derive the uniform formalized pricing formulas under the equivalent martingale...

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Principais autores:	Xiaoyu Tan, Shenghong Li, Shuyi Wang
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2020-05-01
coleção:	Mathematics
Assuntos:	Lévy process stochastic interest rate Girsanov theorem option pricing
Acesso em linha:	https://www.mdpi.com/2227-7390/8/5/731
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