Journal of East China Normal University(Natural Sc ›› 2010, Vol. 2010 ›› Issue (6): 169-177.

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Pricing basket future options in jump-diffusion models

JIANG Ying1, LIN Jian-zhong2   

  1. 1. Department of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 201300, China 2. Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, China
  • Received:2010-03-01 Revised:2010-06-01 Online:2010-11-25 Published:2010-11-25
  • Contact: LIN Jian-zhong

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Abstract: A model of future market in which the prices of k futures are governed by a m-dimensional Brownian motion and a l-dimensional Poisson process is considered. Applying the forward martingale measure method, the Black-Scholes pricing formula for an European basket future option is obtained.

Key words: basket future option, equivalent martingale measure, jump-diffusion model, basket future option, equivalent martingale measure

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