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

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 equationstochastic interest ratepartial integro-differential equationEuropean call optionexponential Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)