Article citationsMore>>

Zhang, X., Shu, H.S., Kan, X., Fang, Y.Y. and Zheng, Z.W. (2018) The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate. Journal of Mathematical Finance, 8, 43-57. https://doi.org/10.4236/jmf.2018.81004

has been cited by the following article:

• TITLE: Call and Put Option Pricing with Discrete Linear Investment Strategy

  AUTHORS: Niloofar Ghorbani, Andrzej Korzeniowski

  KEYWORDS: Discrete Dynamic Investment Strategy, Stochastic Interest Rates, Vasicek Model, Hull-White Model, European Call Option, European Put Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.1, January 29, 2022

  ABSTRACT: We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models, provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.