Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144672 | Journal of the Korean Statistical Society | 2013 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
P. Sattayatham, S. Pinkham,