J4 ›› 2011, Vol. 46 ›› Issue (7): 96-100.

• Articles • Previous Articles     Next Articles

Option pricing under a new interest rate model when the underlying asset obeys jumpdiffusion process

XU Cong-cong1, LIU Xin-ping2   

  1. 1. Shijiazhuang Institute of Railway Techology, Shijiazhuang 050041,Hebei, China;
    2. College of Mathematics and Information Science, Shaanxi Normal University, Xi’an 710062, Shaanxi, China
  • Received:2010-12-19 Online:2011-07-20 Published:2011-09-08
  • Supported by:

    许聪聪(1981- ),女,河北邢台人,讲师,硕士研究生,主要从事应用概率统计研究. Email:clever004@126.com


Based on the new type interest rate model proposed by Kim and Kunitomo, the option price was studied when the stock price obeys the jumpdiffusion process. Considering the payment of stock dividend, the analytical expressions of European call and put option prices were obtained using martingale method by assuming that the parameters are timedependent. This study developed the results of BlackScholes model.

Key words:  stochastic interest rate; jumpdiffusion process; martingale method

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