Fractional Jump-diffusion Pricing Model under Stochastic Interest Rate

被引：0
|
作者：
Xue, Hong [1 ]
Lu, Junxiang [1 ]
Li, Qiaoyan [1 ]
Wang, Xiaodong [1 ]
机构：
[1] Xian Polytech Univ, Sch Sci, Xian 710048, Peoples R China
来源：
INFORMATION AND FINANCIAL ENGINEERING, ICIFE 2011 | 2011年 / 12卷
关键词：
option pricing; actuarial method; fractional jump-diffusion process; stochastic interest rate; FINANCE;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The fractional jump-diffusion financial market model under stochastic interest rate is built, where stock price satisfies the fractional jump-diffusion process, and interest rate satisfies the fractional Hull White model. By mean of the physical probabilistic measure of price process, the principle of fair premium, and fractional jump-diffusion process theory, the pricing formulae of European option are obtained. The European option pricing model is generalized.
引用
收藏
页码：428 / 432
页数：5
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