About this document
Stochastic Interest Rate Option Pricing by Yna Ortega is a document available to read on EtoBox.
This paper explores the pricing of European stock options under stochastic interest rates by extending the Black-Scholes model with the Vasicek framework. It derives closed-form pricing formulas for call and put options and examines the effects of interest rate randomness through analytical methods and Monte Carlo simulations. The findings highlight the increased complexity in pricing while maintaining key relationships such as put-call parity.
- Author
- Yna Ortega
- Language
- EN