Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate

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 price...

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Bibliographic Details
Main Author: Ji-Hun Yoon
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2014/759562