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

This paper extends the traditional jump-diffusion model to a comprehensive general Levy process model with the stochastic interest rate for European-style options pricing. By using the Girsanov theorem and Ito formula, we derive the uniform formalized pricing formulas under the equivalent martingale measure. This model contains not only the traditional jump-diffusion model, such as the compound Poisson model, the renewal model, the pure-birth jump-diffusion model, but also the infinite activities Levy model.