2013•WIT transactions on information and communication technologiesRequires access

Binary option pricing model with the underlying stock price driven by OrnsteinᾯUhlenbeck process under risk-free rate as a stochastic interest rates

Zheng Xiaoyang, Yuanyuan Zhang

Abstract

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Available abstract

Key concepts: Ornstein–Uhlenbeck process, Stock (firearms), Stochastic process, Computer science, Interest rate, Process (computing), Valuation of options, State (computer science)