随机利率下的期权定价与法卡法纳过程:一个简单、明确的公式

IF 2 0 ECONOMICS Annals of Financial Economics Pub Date : 2021-04-19 DOI:10.1142/S2010495221500032

Moawia Alghalith

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引用次数: 2

摘要

假设利率是随机的，我们引入了一个简单的欧式期权定价公式。在此过程中，我们提供了一个完整的封闭形式公式，不需要任何数值/计算方法。此外，模型和公式比以前的模型/公式简单得多。我们的公式和经典的布莱克-斯科尔斯定价公式一样简单。此外，它消除了原始布莱克-斯科尔斯模型的理论限制，而没有增加任何实际复杂性。

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PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA

Assuming a stochastic interest rate, we introduce a simple formula for pricing European options. In doing so, we provide a complete closed-form formula that does not require any numerical/computational methods. Furthermore, the model and formula are far simpler than the previous models/formulas. Our formula is as simple as the classical Black–Scholes pricing formula. Moreover, it removes the theoretical limitation of the original Black–Scholes model without any added practical complexity.

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来源期刊

Annals of Financial Economics ECONOMICS-

CiteScore

6.60

自引率

55.00%

发文量