Volume 2, Issue 1, April 2022
Research PaperOpenAccess
Theory of Pricing in Stochastic Financial Models – Continuous Tim
Hamdin Alafif^1,2*
¹Tabuk University, Tabuk 47512, Saudi Arabia. E-mail: hjumaa@ut.edu.sa ²Khartoum University, Khartoum, Sudan. *Corresponding Author
Int.J.Pure&App.Math.Res. 2(1) (2022) 49-64, DOI: https://doi.org/10.51483/IJPAMR.2.1.2022.49-64
Received: 21/08/2021\|Accepted: 17/02/2022\|Published: 05/04/2022

Abstract

In this manuscript we formulate the basic postulate of the Heath-Jarrow-Merton approach and investigate the existence and uniqueness of the Heath-Jarrow-Merton model. We examine the general Heath-Jarrow-Merton set-up and the Gaussian Heath-Jarrow-Merton set-up respectively and also, we present some examples of the Heath-Jarrow-Merton model for the different types of the volatility structure.

Keywords: Pricing, Heath-Jarrow-Merton approach, Stochastic Financial Models, Volatility

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International Journal of Pure and Applied Mathematics Research

Theory of Pricing in Stochastic Financial Models – Continuous Tim

Abstract