Pricing of bi-direction European options with jump diffusion and stochastic interest rates

MaRDI QIDQ3170624zbMATH OpenFDO

Authors Zhi Wang, Bo Peng, Yu Teng

Publication date 29 September 2011

zbMATH Keywords

renewal processmartingalesjump diffusion model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

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Cited in

(5)

• Pricing European options in a bivariate jump-diffusion model
• The option pricing under Vasicek interest rate and pure birth jump diffusion model
• European option pricing when the riskfree interest rate follows a jump process
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate
• Pricing of bi-direction European options on stocks driven by Poisson jump diffusion process

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