Pricing Of The European Complex Chooser Option Under Generalized Exponential O-U Process

Option, as an important financial derivative, plays an impor-tant role in the financial market, and the option pricing is also very important.In recent years, due to the rapid development of finan-cial market, there have been many new options, which have been mutated in many respects with standard options, called exotic op-tions. Chooser option is a kind of exotic options, which allows option holders decide this option is a call option or put option at a time before the option maturity date, after this time is the standard Eu-ropean option.Chooser option can effectively guard against risk and reduce the investment cost of holders.Therefore, how to carry out the reasonable and effective pricing of chooser option has become a hot topic of current research.This paper is mainly about pricing of the complex chooser op-tion.Firstly, it is assumed that the stock price follows continuous generalized exponential O-U process model.The risk-free rate of in-terest and stock price of the expected return rate and volatility are functions of time.The price analytic solutions of the complex chooser option at any time t is given by martingale method and actuari-al method.However, in the actual financial market, stock price will suddenly jump.Continuous process can not accurately describe the volatility of the stock price.Therefore, we assume that the stock price follows jump diffusion generalized exponential O-U process, more ac-curately portray the stock price volatility of the actual situation.The price analytic solutions of the complex chooser option at any time t is given by martingale method and actuarial method again.