Abstract: Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model, and when the interest is correlated with the asset prices, by the way of change of measure, a closed solution of pricing of power option was given. Moreover, some special situations were considered.

Key words: power options, stochastic interest rate, change of measure, jump diffusion model, power options, stochastic interest rate, change of measure