Option pricing for a stochastic volatility Lévy model with stochastic interest rates

被引：0
|
作者：
P. Sattayatham
S. Pinkham
机构：
[1] SUT,School of Mathematics
来源：
Journal of the Korean Statistical Society | 2013年 / 42卷
关键词：
60G20; 60G51; Time-change Lévy process; Stochastic interest rate; Option pricing;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
An alternative option pricing model under a forward measure is proposed, in which asset prices follow a stochastic volatility Lévy model with stochastic interest rate. The stochastic interest rate is driven by the Hull-White process. By using an approximate method, we find a formulation for the European option in term of the characteristic function of the tail probabilities.
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页码：25 / 36
页数：11
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