The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate

机译：带有随机利率跳-扩散模型的标的股票定价的欧洲期权定价模型和VaR

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Using risk neutral pricing principle, the paper studies the pricing problem on European option with the underlying stock pricing following jump-diffusion model with Vasicek stochastic interest rate, then derives pricing formula of European call, put and parity option. In the end the paper derives the VaR of European call option and put option.

机译：利用风险中性定价原理，研究了基于Vasicek随机利率跳-扩散模型的标的股票定价的欧式期权的定价问题，然后推导了欧式看涨期权，看跌期权和平价期权的定价公式。最后，得出了欧洲看涨期权和看跌期权的VaR。

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来源
《FRCFM;International conference on financial risk and corporate finance management》|2011年|p.712-716|共5页
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作者
XIE Yanpeng; WANG Yuzhang; DING Changkun;
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原文格式 PDF
正文语种
中图分类公司;公司;
关键词
Vasicek stochastic interest rate; Jump-diffusion process; European option; Pricing model; VaR (Value at Risk);

机译：Vasicek随机利率;跳跃扩散过程;欧式期权;定价模型; VaR（风险价值）;

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1. Reduced order models for pricing European and American options under stochastic volatility and jump-diffusion models [J] . Balajewicz Maciej, Toivanen Jari Journal of computational science . 2017,第May期

机译：随机波动和跳跃扩散模型下的欧式和美式期权定价的降阶模型
2. European option pricing under stochastic volatility jump-diffusion models with transaction cost [J] . Computers & mathematics with applications . 2020,第9期

机译：带有交易成本的随机波动率跳跃-扩散模型下的欧式期权定价
3. Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate [J] . Jin Li, Kaili Xiang, Chuanyi Luo Applied Mathematics . 2014,第16期

机译：分数布朗运动和随机率跳-扩散模型中两种幂期权的定价研究
4. The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate [C] . XIE Yanpeng, WANG Yuzhang, DING Changkun International conference on financial risk and corporate finance management . 2011

机译：随机利率下跳跃模型下跳转模型的欧洲股票价格对欧洲选择的定价模型与var
5. Option pricing for a stochastic-volatility jump-diffusion model. [D] . Yan, Guoqing. 2006

机译：随机波动率跳跃扩散模型的期权定价。
6. Option pricing of weather derivatives based on a stochastic daily rainfall model with Analogue Year component [O] . Tesfahun Berhane, Nurilign Shibabaw, Gurju Awgichew, 2020

机译：基于具有模拟年分量的随机每日降雨模型的天气衍生产品的期权定价
7. Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models [O] . Balajewicz, Maciej, Toivanen, Jari 2016

机译：欧洲和美国期权定价的降阶模型随机波动率和跳跃 - 扩散模型

The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate

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