Exchange Option Pricing Under DEJ Model

Option,an important financial derivative,has been studied ever since it came.The Option pricing is one of the core contents of modern finance theory.From the famous Black-Scholes model summoned by Fisher Black and Myron Scholes in 1973 up to now,many specialists tried their effort to modify this model.Upon which,S.G.Kou advanced the double Exponential Jump Diffusion model,known as the DEJ model,to solve the flaw in the Black-Scholes model.In this text,we studied the problem of pricing exchange option under double exponential jump diffusion(DEJ)model.First we studied the DEJ model and the exchange option,which is a special exotic option.Later we use the Girsanov Theorem to make a measure transform and solve the problem with the help of Hh function.