ON PRICING EUROPEAN CALL OPTION 0N EXPONENTIAL L\'{E}VY MODEL WITH JUMPS IN INTEREST RATE

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Publication:2959586

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DOI10.12732/ijam.v29i2.6zbMath1357.91045OpenAlexW2340871285MaRDI QIDQ2959586

Unnamed Author, Georgina O. Kalu

Publication date: 9 February 2017

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v29i2.6

zbMATH Keywords

stochastic differential equation stochastic interest rate partial integro-differential equation European call option exponential Lévy model

Mathematics Subject Classification ID

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