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

zbMATH Open1237.62161MaRDI QIDQ3170624FDOQ3170624

Authors: Zhi Wang, Bo Peng, Yu Teng 

Publication date: 29 September 2011

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zbMATH Keywords

renewal processmartingalesjump diffusion model

Mathematics Subject Classification ID

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

Cited In (4)

• Pricing European options in a bivariate 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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