2011•Journal of Xi'an University of Arts and ScienceRequires access

European Type Option Pricing of Double Exponential Jump Diffusion Model under Random Interest Rate

Yan Shu-xia

Abstract

The paper is to popularize the double exponential jump diffusion model of stock price proposed by Kou.We are trying to establish an extended double exponential jump diffusion model which features a more flexible interpretation.By means of martingale method,measure transformation,and linear transformation,we obtain European type option pricing formula based on extended double exponential jump diffusion model.

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Available abstract

Key concepts: Double exponential function, Jump diffusion, Jump, Exponential function, Martingale (probability theory), Mathematics, Applied mathematics, Transformation (genetics)