2006•Natural Science Journal of Xiangtan UniversityRequires access
Pricing of Two Kinds of Exotic Options under the Stochastic Interest Rates
Wanf Jianjun, Shaoyue Liu
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Abstract
Supposing that the interest rates is stochastic interest rates,this paper derives the pricing formulas of the two exotic options under the stochastic interest rates by applying the martingale method.We consider comprehensively the price action characters of the basic variables-bond and stock.