Pricing of Embedded Options in Bank Deposits and Loans Based on Jump-Diffusion Interest Rate Model

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr class="thead"><td class="align_left">Interest rate varieties</td><td class="align_center">Current</td><td class="align_center">3 months</td><td class="align_center">6 months</td><td class="align_center">1 year</td><td class="align_center">2 year</td><td class="align_center">3 year</td><td class="align_center">5 year</td></tr><tr><td class="thead-hr" colspan="8"><hr/></td></tr><tr><td class="align_left">Hop count</td><td class="align_center">14</td><td class="align_center">22</td><td class="align_center">25</td><td class="align_center">26</td><td class="align_center">26</td><td class="align_center">25</td><td class="align_center">25</td></tr><tr class="table-tr"><td colspan="8"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Jump times of time deposit interest rate of each term.</div>

Complexity

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Table 5

Table 5: Pricing of Embedded Options in Bank Deposits and Loans Based on Jump-Diffusion Interest Rate Model 