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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2013 (2013), Article ID 1

Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates

Werner Huerlimann

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Abstract

An explicit state-price deflator for the multidimensional Black-Scholes market with Vasicek stochastic interest rates is constructed. It is applied to obtain extensions of the Margrabe and Black-Scholes option pricing formulas. These formulas, which are validated in a multiple risk economy with stochastic interest rates, remain invariant under changing market prices of risk. Some comments including related research round up the exposé.

Published
19 March 2013
Volume
2013 (2013)
License
CC BY 3.0

Copyright © 2013 Werner Huerlimann. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Cite this article

W. Huerlimann, Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates, Math. Finance Lett. 2013 (2013), 1.

BibTeX
@article{Huerlimann2013,
  author  = {Huerlimann, Werner},
  title   = {Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates},
  journal = {Math. Finance Lett.},
  volume  = {2013},
  year    = {2013},
  pages   = {1},
  doi     = {}
}