The Pricing Of Exotic Options In The Model Of Jump-diffussion

In this thesis.we study the pricing of European-call options,power-call options,cash-or-nothing call options,asset-or-nothing call options,capped-call options and compound options when the price of stock conform to jump-diffusion process. The thesis is organized as follows.The history of option pricing will be recalled in the introduction.In chapter 2, first,we introduce the definition and some theories about jump-diffusion process.We introduce the generalized It(?) formula and its conclusions,which are the basis of our computations in this thesis.Then, we briefly introduce some fundamental knowledge of measure transformation.Choosing different numeraires,we can get different martingale mea-sures.Then,we can know that the equivalent martingale measure we often use is the excep?tional case.Changing the numeraire can simplify calculations.In chapter 3, we specifically calculate the pricing of European-call options,power-call options,cash-or-nothing call options,asset-or-nothing call options,capped-call options and com?pound options.In chapter 4, we suppose that the money account is non-risk.In fact,the money account is risk in the long run.In chapter 4,we calculate these options again, supposing the money account is risk.