2008•Journal of Anhui University of Technology and ScienceRequires access
Exchange option pricing model with stock pricing processes in jump-diffusion process
Shen Ming-xuan
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Abstract
The problem of pricing exchange options in a jump-diffusion model is considered.The paper assumes the two stock pricing processes are jump-diffusion processes,and the jump processes are non-homogenous Poisson process.Under the condition that the expected rate μ(t) and volatility σ(t) are function of time,using physical probabilistic measure of price process and the principle of fair premium,the pricing formula of exchange options is obtained.