Pricing Stock Options with Stochastic Interest Rate

M. Abudy, Yehuda Izhakian
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引用次数: 30

Abstract

This paper constructs a closed-form generalization of the Black-Scholes model for the case where the short-term interest rate follows a stochastic Gaussian process. Capturing this additional source of uncertainty appears to have a considerable effect on option prices. We show that the value of the stock option increases with the volatility of the interest rate and with time to maturity. Our empirical tests support the theoretical model and demonstrate a significant pricing improvement relative to the Black-Scholes model. The magnitude of the improvement is a positive function of the option's time to maturity, the largest improvement being obtained for around-the-money options.
随机利率下股票期权定价
本文针对短期利率服从随机高斯过程的情况,构造了Black-Scholes模型的封闭推广。抓住这一额外的不确定性来源似乎对期权价格产生了相当大的影响。我们证明了股票期权的价值随利率的波动率和到期日的时间而增加。我们的实证检验支持理论模型,并证明了相对于Black-Scholes模型的显著的定价改进。改善的幅度是期权到期日的正函数,最大的改善是围绕货币期权获得的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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