Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices
为短期利率不连续过程推导了均衡利率期权价格，先处理一般跳跃分布，再得到连续分布下的期权价格，并推广到股票期权和套期保值组合构建。
This paper obtains equilibrium interest rate option prices for discontinuous short-term in? terest rate processes. The prices are first obtained for a general distribution of jump sizes using a process with a number of fixed size jumps. The pricing formulas are then used to obtain option prices when the jump distribution is known to be one of the continuous dis? tributions. The commonly used jump-diffusion, stochastic volatility jump-diffusion, and Gamma process option prices can be obtained as limiting cases. The methodology is also applied to obtain the prices of options on stocks. Finally, the paper shows how portfolios to hedge derivative securities can be built.