2012•Journal of Shaanxi University of TechnologyRequires access
Pricing options on jump-diffusion model with stochastic interest rate
Yunfeng Yang
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Abstract
It is assumed that the jump process is counting one.The behavior model which the stock pricing process is obedient to jump-diffusion process was established.The option pricing was discussed when interest rate was random variable.The formula of European option which stock price with jump process is count process is deduced by martingale method,and the existing conclusions was drawn.