Under the hypothesis of underlying asset price being driven by ajump-diffusion process that is a count process discussed the option pricing when interest rate is random variable, we obtain the pricing formula of European call option.
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美
- 在(1)的假設下,討論了當利率為隨機變量時(shí)的期權定價(jià)問(wèn)題,給出了歐式買(mǎi)權與賣(mài)權的定價(jià)公式以及平價(jià)關(guān)系。
