跳跃扩散型双币种期权的定价

在外国股价和汇率都服从Merton跳跃扩散过程的背景下,建立欧式买入双币种期权定价模型, 选取零息票债券作为计价单位，运用等价鞅测度和多元正态分布的知识得到跳跃扩散型欧式看涨双币种期权的显式解，并用零息票债券的定价得到在随机利率下跳越扩散型欧式看涨双币种期权的价格

Pricing Quanto Options in the Jump-Diffuision Process

Quanto European call options model in the jump-diffuision process are established under the backgroud of foreign-stock price and exchange satisfying a jump-diffusion process.After zero-coupon bonds was selected as price units,the explict solution of quanto European call options is obtained by applying equivalent maritingale measure and knowledge of multiple normal distribution.then the price of quanto European call options is obtained by pricing of zero-coupon bonds under the condition of stochastic interest rates.