Equity-linked foreign exchange option pricing under jump-diffusion model
In this paper,we study the pricing of Equity-linked foreign exchange option with an indicative function of exchange rate which changes in a certain range by establishing the stochastic differential equation for the stock price and exchange rate based on the risk-neutral measure.The stock is listed overseas with a jump-diffusion process.In the empirical analysis,we discuss the option pricing problem above and compare the price with relevant options by the real data of the Hong Kong dollar/RMB exchange rate and the stock price of the Shanghai-Hong Kong Stock Connect.At the same time,the sensitivity of the option is analyzed.
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