QIAN Xiaosong. Changes of Probability Measure and Options Pricing in Jump-Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(1): 91-99.
Citation: QIAN Xiaosong. Changes of Probability Measure and Options Pricing in Jump-Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(1): 91-99.

Changes of Probability Measure and Options Pricing in Jump-Diffusion Models

  • This paper studies the relation between changes of probability measure and option pricing in a jump-diffusion model. By choosing different numeraire and corresponding probability measure, we give the formula of European options in a stochastic interest rate framework and get some results about exchange options and Asian options in jump-diffusion models.
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