This paper generalizes European call options on the extremum of several risky assets in a Poisson-Gaussian model which allows both the risky assets and stochastic interest rates moving randomly with jump risks. The st...This paper generalizes European call options on the extremum of several risky assets in a Poisson-Gaussian model which allows both the risky assets and stochastic interest rates moving randomly with jump risks. The stochastic interest rate is assumed to follow an extended multi-factor HJM model with jumps. The authors provide explicitly the closed-form solutions of these options through the change of numeralre technique and examine the effects of both jump risks and stochastic interest rate on the option price with numerical experiment. The model can be seen as an extension of Stulz （1982）, Johnson （1987） and Lindset （2006）.展开更多
基金Supported by the National Natural Science Foundation of China under Grant No. 40675023the "985" Project of Hunan Universitythe Guangxi Natural Science Foundation under Grant No. 0991091
文摘This paper generalizes European call options on the extremum of several risky assets in a Poisson-Gaussian model which allows both the risky assets and stochastic interest rates moving randomly with jump risks. The stochastic interest rate is assumed to follow an extended multi-factor HJM model with jumps. The authors provide explicitly the closed-form solutions of these options through the change of numeralre technique and examine the effects of both jump risks and stochastic interest rate on the option price with numerical experiment. The model can be seen as an extension of Stulz （1982）, Johnson （1987） and Lindset （2006）.
