[02093] British Call Option On Stocks under Stochastic Interest Rate
Session Time & Room : 3C (Aug.23, 13:20-15:00) @E505
Type : Contributed Talk
Abstract : The closed form expression for the price of the British put and call options have long been established where both interest rate and volatility are assumed to be constant. In reality, these assumptions do not fully reflect the variable nature of the financial markets. In this paper, we derived a closed form expression for the arbitrage-free price of the British call option by assuming stochastic interest rate which follows the Cox-Ingersoll-Ross model and constant volatility.