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The pricing of a venture capital contract with double barriers under Kou’s model

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DOI: 10.23977/wepm2020.027


Yue Wan, Guoxiao Yang

Corresponding Author

Yue Wan


Venture capital contract plays a key role in venture capital investment. In order to ensure the fairness of venture capitalists and venture entrepreneurs, a venture capital contract with double barrier option and bond features was designed in this paper. By setting the two barriers, the incentives and controls were established on both parties. Under the assumption that the enterprise value follows Kou’s double exponential jump-diffusion process, the pricing formula of venture capital contract and the relationship among the parameters in the contract were obtained by the risk-neutral method.


Venture capital, double barriers, double exponential jump-diffusion model

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