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2014 Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate
Ji-Hun Yoon
J. Appl. Math. 2014: 1-7 (2014). DOI: 10.1155/2014/759562

Abstract

Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.

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Ji-Hun Yoon. "Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate." J. Appl. Math. 2014 1 - 7, 2014. https://doi.org/10.1155/2014/759562

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07131848
MathSciNet: MR3272248
Digital Object Identifier: 10.1155/2014/759562

Rights: Copyright © 2014 Hindawi

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