European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
Sarisa Pinkham, Pairote Sattayatham
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DOI: 10.4236/jmf.2011.13013   PDF   HTML     4,388 Downloads   10,249 Views   Citations

Abstract

We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek process. We obtain an explicit formula for the European call option in term of the characteristic function of the tail probabilities.

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S. Pinkham and P. Sattayatham, "European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 98-108. doi: 10.4236/jmf.2011.13013.

Conflicts of Interest

The authors declare no conflicts of interest.

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