The Pricing Of Option With Jump-Diffusion

Fisher Black & Myron Scholes's seminal paper "The Pricing of options and cor-porate liabilities"published in 1973 marks the beginning of financial derivative pricingtheory. Since then,the study of financial derivative pricing theory has been full of vi-tality and reaped rich achievements. This researches are based on application to themature securities market in the West.The securities market in our country is youngand is a rising market.It is quite different from the mature market in many aspects,andalso researches of the financial derivative pricing theory and application fall behind theWest.It is very important and significance to use the financial derivative pricing theo-ries in the West for reference and to strengthen the researches on financial derivativepricing theory and application in our securities market.In introduction,the conception of the option and the history of the option pricingtheory are introduced.In Chapter 2, it is assumed that the riskless is stochastic, and the stock price withjump-diffusion, deals with the option pricing of Bi-direction European Option,CappedCalls,Deductible Calls,European Option of downtrend beat, and obtain pricing model.In Chapter 3,it is assumed that the stock price with jump-diffusion,deals with thepricing of Asian Option, and obtain pricing model.In Chapter4,it is assumed that the stock price with jump-diffusion,deals with thepricing of foreign Option, and obtain pricing model.In Chapter 5, the main results of this dissertation are summarized and some issuesremaining unsolved are pointed out.