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ABSTRACT In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing… Click to show full abstract
ABSTRACT In the real world, we introduce a dynamic model about the risky asset which is governed by Brownian motion, stationary compound Poisson process and its compensation process. By choosing Esscher transform parameters, we obtain a risk-neural measure Q under which the discounted value of the risky underlying asset is a martingale. Then, we give the pricing formulas of Exchange option by change of numeraire. At last, we analyze the option pricing formula and provide numerical illustrations by introducing BBY stock and SBUX stock.
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2018
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