Option pricing with the underlying stock price driven by Ornstein-Uhlenbeck process under stochastic interest rates

The paper constructs the stochastic differential equation of the stock price whose process is driven by the exponential Ornstein-Uhlenbeck process.Under the risk-neutral hypothesis,the equivalent martingale measure is found by means of Girsanov theorem.The European option pricing on stocks is obtained as the price is driven by the exponential Ornstein-Uhlenbeck process under stochastic interest rates and the factors affecting the interest rate and the price of the stocks are correlative.