|
Organizers |
A Poisson-Gaussian model to price European options on the extremum of n risky assets within an extended HJM framework
by
Deng Guohe
school of mathematics,Guangxi Normal Uuiversity,Guilin 541004,P.R.China
Coauthors: Huang Lihong
This paper generalizes the European options on the maximum or the minimum of n risky assets in a Poisson-Gaussian model which allows both the underlying assets and stochastic interest rates moving randomly with jump risks.The stochastic interest rate is assumed to follow an extended multi-factor HJM model. We provide explicitly the closed-form solutions of these options through the change of numeraire approach and examine the effects of jump risks , stochastic interest rate on the market value of these options,and the dependence of option price on the parameters of interest rate within numerical experiments.The model can be seen as an extension of Johnson's and Lindset's.
Date received: March 12, 2007
Copyright © 2007 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caul-32.