On pricing European call option on exponential Lévy model with jumps in interest rate (Q2959586)
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scientific article; zbMATH DE number 6683097
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| English | On pricing European call option on exponential Lévy model with jumps in interest rate |
scientific article; zbMATH DE number 6683097 |
Statements
ON PRICING EUROPEAN CALL OPTION 0N EXPONENTIAL L\'{E}VY MODEL WITH JUMPS IN INTEREST RATE (English)
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9 February 2017
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European call option
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exponential Lévy model
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stochastic differential equation
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stochastic interest rate
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partial integro-differential equation
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0.8202444314956665
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0.8136317729949951
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0.8114644885063171
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0.8063927292823792
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0.8048913478851318
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