We shall generalize the Black-Scholes option pricing formula by incorporating stochastic interest rates. Although the existing literatures have obtained some formulae for stock options under stochastic interest rates, the closed-form solutions have been known only under the Gaussian (Merton...

We investigate the effects of the stochastic interest rates and the volatility of the underlying asset price on the contingent claim prices including futures and options prices. The futures price can be decomposed into the forward price and the additional terms and the options price can be...

We investigate the effects of the stochastic interest rates and the volatility f the underlying asset price on the contingent claim prices including futures and options prices. The futures price can be decomposed into the forward price and the additional terms and the options price can be...