Mathematics,NanjingUniversityofFinance& Economics,NanjingJiangsu210023,China)РРAbstractР : Weconsidertheproblem ofexchangeoptionpricingunder mixedgaussian modelwithРjumpsandgivethepricingprocessesoftheunderlyingassetundermixedgaussianmodelwithjumpsinРthepaper.Atfirst,weextendIto^formulaunder mixedgaussian modeltothesituationofmixedРgaussianmodelwithjumps.Then,theIto^formulaundermixedgaussianmodelwithjumpsisusedtoРgettheBlack-Scholespartialdifferentialequationofexchangeoption.Intheend,wegetthepricingРformulaofexchangeoptionundermixedgaussianmodelwithjumpsbysolvingthepartialdifferentialРequation.РKeywordsР : mixedgaussianmodel;exchangeoption;jumpdiffusion;Ito^formulaР [责任编辑:李春红]
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