Zhang, X., Shu, H.S., Kan, X., Fang, Y.Y. and Zheng, Z.W. (2018) The Call Option Pricing Based on Investment Strategy with Stochastic Interest Rate. Journal of Mathematical Finance, 8, 43-57. https://doi.org/10.4236/jmf.2018.81004

has been cited by the following article:

• TITLE: Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

  AUTHORS: Niloofar Ghorbani, Andrzej Korzeniowski

  KEYWORDS: European Call Option, Linear Stock Investment Strategy, Cox-Ingersoll-Ross Model, Ornstein-Uhlenbeck Process, Numeraire and Martingale Measure

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.4, November 25, 2020

  ABSTRACT: We present a solution to the problem posed by Zhang et al. [1] regarding Call Option price CT under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for CT by expected value of the path-integral along a square functional of n-dimensional Ornstein-Uhlenbeck process is derived. The method is suitable for Monte-Carlo simulation and illustrated by an example.