Option pricing on stocks driven by fractional-jump diffusion process

Using physical probabilistic measure of price process and the principle of fair premium,the results of Mogens bladt and Hviid Rydberg on European option pricing is generalized.Under the assumptions that stocks price process is driven by fractional diffusion process with non-homogeneous Poisson process,and the expected rate μ(t),volatility σ(t) and risk-less rate r(t) are function of time,the pricing formula and put-call parity of European option are obtained.