کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1003234 | 937560 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A generalization of reset options pricing formulae with stochastic interest rates
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A generalization of reset call options with predetermined dates is derived in the case of time-dependent volatility and time-dependent interest rate by applying martingale method and change of numeŕaire or change of probability measure. An analytical pricing formula for the reset call option is also obtained when the interest rate follows an extended Vasicek’s model. Numerical results show that the correlated coefficient between the stock price and interest rate is almost unacted on the price of reset call option with short maturity and Monte Carlo method is inefficient. Monte Carlo method should be only used if there is no closed-formed solution for option pricing.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 21, Issue 2, June 2007, Pages 119–133
Journal: Research in International Business and Finance - Volume 21, Issue 2, June 2007, Pages 119–133
نویسندگان
Shu Jin Li, Sheng Hong Li, Chao Sun,