The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
LI Wen-han1,2, LIU Li-xia1?, SUN Hong-yan3
1. College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang 050024, China
2. College of Mathematics and Physics, Shijiazhuang University of Economics, Shijiazhuang 050031, China
3. Department of Basic, Bethune Military Medical College, Shijiazhuang 050081, China
Abstract Several European options pricing of domestic currency, with the stochastic differential equations of the stock price of foreign currency which is jump-diffusion process and of the foreign exchange, are obtained by martingale pricing method. Under the risk-neutral hypothesis, the factors affecting the foreign exchange rate and the price of the stocks are correlative.
LI Wen-han, LIU Li-xia, SUN Hong-yan. The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate. Applied Mathematics A Journal of Chinese Universities, 2016, 31(1): 21-29.
