Discussion about the Option Pricing Based on the Stochastic Interest Rate
Discussion about the Option Pricing Based on the Stochastic Interest Rate
Author：Tian Ping, Zhang Yishan & Zhao Shishun Journal：Mathematical statistics and management Date：2008(11)
Keywords stochastic interest rate,option pricing,the Ho-Lee model,the Vasicek model
Abstract
In this paper,using the simpliifed model of Ho-Lee model and Vasicek model,we deduce the European option pricing of stochastic interest rate under the Black-Scholes assumption. It is an extension of the option pricing model with the constant risk-free rate.Wealso analysis and compare it with the general case.
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