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  4. Pricing of Two-Asset Options under the Jump Diffusion Stock Price Process

Pricing of Two-Asset Options under the Jump Diffusion Stock Price Process

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DOI: 10.23977/emsd.2019.034

Author(s)

Zhuobing Du

Corresponding Author

Zhuobing Du

ABSTRACT

This paper presents the pricing and valuation of two-asset options. Assuming an arbitrage-free market, a pricing model of two-asset option is established by assuming that the prices of both underlying assets follow the Poisson jump-diffusion process. A closed-form expression for the option price is derived using risk-neutral valuation.

KEYWORDS

Option pricing, Poisson jump-diffusion process, two-asset options

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