ZHANG Yun-liang1, MIAO Fang2, LIU Xin-ping2*
(1 Department of Mathematics, Xi′an University of Art and Science, Xi′an 710065, Shaanxi, China；2 College of Mathematics and Information Science, Shaanxi Normal University, Xi′an 710062, Shaanxi, China)
Abstract:
The foreign exchange option pricing problem of diffusion process with jumps is discussed. When the foreign exchange price follows Poisson diffusion process with jumps, by using stochastic analysis, the equivalent martingale measure and the partial differential method, european foreign exchange option pricing formula and the call-fall formula are obtained.
KeyWords:
foreign exchange option; Poisson jump; equivalent martingale measure
