Haowen Fang

Work place: School of Business, Sun Yat-sen University, Guangzhou, Guangdong Province, China,510275

E-mail: fanghaowen@tom.com


Research Interests:


Author Articles
Option Pricing Under Stochastic Interest Rates

By Haowen Fang

DOI: https://doi.org/10.5815/ijem.2012.03.12, Pub. Date: 29 Jun. 2012

This paper reviews the research history of option pricing, then our model assumes that the interest rate subject to a given Vasicek stochastic differential equations, using option pricing by martingale method to study the stochastic interest rate model of European option pricing and obtain the pricing formula. Finally, we compare the differences between the standard European option pricing formulas and European option pricing formula under stochastic interest rate.

[...] Read more.
Other Articles