JMF  Vol.1 No.3 , November 2011
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
Abstract: We present a European option pricing when the underlying asset price dynamics is governed by a linear combination of the time-change Lévy process and a stochastic interest rate which follows the Vasicek process. We obtain an explicit formula for the European call option in term of the characteristic function of the tail probabilities.
Cite this paper: nullS. Pinkham and P. Sattayatham, "European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 98-108. doi: 10.4236/jmf.2011.13013.

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