Pricing stock options with stochastic interest rate

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An Actuarial Approach to Option Pricing under O-U Process and Stochastic Interest Rates. rates are stochastic and the stock price. stock price if the option.Although the existing literature has obtained some formulae for stock options under stochastic interest. pricing when stochastic.This study proposes a pricing model through allowing for stochastic interest rate and stochastic volatility. stochastic interest rate.This paper discusses an actuarial approach to the option pricing problem for a market model where the interest rates are stochastic and the stock. deepdyve.com.

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Research Article Pricing Spread Options with Stochastic Interest Rates YunguoJinandShoumingZhong School of Mathematical Sciences, University of Electronic Science and.Theorem 1 generalises the BS call option pricing model to the case of SI rates. 16 In the BS model the price, C(t, T), of the option is a function of the time to.

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The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic.

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The strike of pure default option is firm. allow for stochastic interest rates and take a.

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Option Pricing and Hedging Performance Under Stochastic Volatility and. stochastic volatility and stochastic interest.Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates. interest rate, and the stock continuous dividends yield is -.

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Stochastic interest rate models. stochastic volatility interest rate models Dependence.stock option pricing models under several stochastic interest rate processes.

Figure 2: The price of the spread option varies with the changes in ...

Pricing interest rate derivatives under stochastic volatility. volatility and pricing interest rate. develops an approximation for coupon bond options prices.

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Option Pricing for a Stochastic-Volatility Jump-Diffusion Model. in the stock price process.

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Figure 3: The price of the spread option varies with the changes in ...

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OTC Derivatives, Swaps, and Interest Rate Options. 1. Vipul Bansal, M.E. Ellis...The Pricing of Risky Debt when Interest. the riskless interest rate is stochastic and is. pricing of options with stochastic interest.