The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate

被引：0
|
作者：
Xie Yanpeng [1 ]
Wang Yuzhang [1 ]
Ding Changkun [1 ]
机构：
[1] China Univ Min & Technol, Sch Sci, Xuzhou 221116, Peoples R China
来源：
PROCEEDINGS OF THE 3RD (2011) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS 1 AND 2 | 2011年
关键词：
Vasicek stochastic interest rate; Jump-diffusion process; European option; Pricing model; VaR (Value at Risk); PRICES;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using risk neutral pricing principle, the paper studies the pricing problem on European option with the underlying stock pricing following jump-diffusion model with Vasicek stochastic interest rate, then, derives pricing formula of European call, put and parity option. In the end the paper derives the VaR of European call option and put option.
引用
收藏
页码：712 / 716
页数：5
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