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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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2020-05-01
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| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/8/5/731 |
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