J4 ›› 2011, Vol. 46 ›› Issue (7): 96-100.
• Articles •
XU Cong-cong1, LIU Xin-ping2
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:firstname.lastname@example.org
Based on the new type interest rate model proposed by Kim and Kunitomo, the option price was studied when the stock price obeys the jumpdiffusion 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 timedependent. This study developed the results of BlackScholes model.
stochastic interest rate; jumpdiffusion process; martingale method
XU Cong-cong1, LIU Xin-ping2. Option pricing under a new interest rate model when the underlying asset obeys jumpdiffusion process[J].J4, 2011, 46(7): 96-100.
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