The Pricing Of The Exotic Option With Uncertain Strike Price Under Jump-diffusion Model

In recent years,options have played an increasing important role with the growing de-velopment and improvement of the fnancial markets,Which is regarded as a good fnancialderivative instruments for risk management and sepeculation.The pricing theory also be-comes the focus of the study of modern fnance,1973,Since the famous Black-Scholesoption pricing model had been brought forward,many domestic and foreign scholars be-gan to modify this model,their models were more close to the actual market,Therefore,alot of fruitful results of theoretical studies are Spring up. However, most researches arebased on the fxed strike price,the studies of variable strike price are less and less.Firstly,this paper assumes that the underlying assets follow a special kind of updatedprocesses,and they are infuenced by multiple sources of jumps.In the case of continuousdividend payments,this paper establish an appropriate model for strike price.Assumedthe market is full.By martingale method,the exotic options have which have changedstrike price are derived.The paper is divided into three chapters.The frist chapter is introduction.It provides the background and the main work ofthis paper. The second chapter is the preparatory knowledge,it introduces the randomprocess and the relevant knowledge.The third chapter is discusses the valuation of continous strike options which havechanged exercise price and are under a Jump-difusion model with multiple sources jumps.The fourth chapter is discusses the valuation of compound options which have changedexercise price and are under a Jump-difusion model with multiple sources jumps.