Shen Lou
Abstract
Assumed that the riskless rate of interest is stochastic interest, the pricing formula is derives of the Innovative Reset Put Option under stochastic interest is derived by applying the martingale method considering comprehensively the interest rate and the models of stock price.
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Assumed that the riskless rate of interest is stochastic interest, the pricing formula is derives of the Innovative Reset Put Option under stochastic interest is derived by applying the martingale method considering comprehensively the interest rate and the models of stock price.
Key concepts: Rendleman–Bartter model, Interest rate, Martingale (probability theory), Martingale pricing, Short-rate model, Economics, Reset (finance), Econometrics