关键词: 跳扩散过程； 波动率； Brown运动； Possion过程； 期权定价

Abstract:

Using the partial differential equation theory, we got a class of option pricing models based on jumpdiffusion process with instantaneous volatility, and obtained the properties of the option pricing under the double effects of Brown motion and Poisson process.

Key words: jumpdiffusion process, volatility, Brown motion, Poisson process, option pricing