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Article: European option pricing when the riskfree interest rate follows a jump process

TitleEuropean option pricing when the riskfree interest rate follows a jump process
Authors
Tsoi, AHYang, HYeung, SN
Issue Date2000
PublisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/15326349.asp
Citation
Communications In Statistics. Part C: Stochastic Models, 2000, v. 16 n. 1, p. 143-166 How to Cite?
AbstractIn this paper, we analyze the pricing of European option when the riskfree interest rate follows a jump process. An expression for European call price is first obtained in the case of constant volatility. Then we present a general formulation which takes care of the variation of volatility. In this general formulation we utilize a point process filtering technique to estimate the state process. Finally we carry out some numerical simulation of our results. Copyright © 2000 by Marcel Dekker, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/82900
ISSN
0882-0287
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorTsoi, AHen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorYeung, SNen_HK
dc.date.accessioned2010-09-06T08:34:41Z-
dc.date.available2010-09-06T08:34:41Z-
dc.date.issued2000en_HK
dc.identifier.citationCommunications In Statistics. Part C: Stochastic Models, 2000, v. 16 n. 1, p. 143-166en_HK
dc.identifier.issn0882-0287en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82900-
dc.description.abstractIn this paper, we analyze the pricing of European option when the riskfree interest rate follows a jump process. An expression for European call price is first obtained in the case of constant volatility. Then we present a general formulation which takes care of the variation of volatility. In this general formulation we utilize a point process filtering technique to estimate the state process. Finally we carry out some numerical simulation of our results. Copyright © 2000 by Marcel Dekker, Inc.en_HK
dc.languageengen_HK
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/15326349.aspen_HK
dc.relation.ispartofCommunications in Statistics. Part C: Stochastic Modelsen_HK
dc.titleEuropean option pricing when the riskfree interest rate follows a jump processen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0882-0287&volume=16&issue=1&spage=143&epage=166&date=2000&atitle=European+option+pricing+when+the+riskfree+interest+rate+follows+a+jump+processen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-27844520035en_HK
dc.identifier.hkuros49245en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-27844520035&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume16en_HK
dc.identifier.issue1en_HK
dc.identifier.spage143en_HK
dc.identifier.epage166en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridTsoi, AH=7005107321en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridYeung, SN=14068283700en_HK
dc.identifier.issnl0882-0287-

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