Article ID Journal Published Year Pages File Type
1144672 Journal of the Korean Statistical Society 2013 12 Pages PDF
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
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