Pricing European Options in a Bivariate Jump-diffusion Model

By applying the martingale approach and the change of numeraire technique,the closed-form solutions of European call option are obtained under jump-diffusion model where the relative jump sizes of stock's price follow a log-binomial distribution,and the pricing formula of the future option is further gained.Finally,the numerical results in our proposed model against the Black-Scholes prices through numerical example are comparatively analyzed.