首先建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,利用测度变换的Girsanov定理,找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳扩散过程的欧式期权以及复合期权的定价公式. First of all, we establish the stochastic differential equation of the stock price jump process as the Poisson process and the jump height obeys the stock price process under the log-normal distribution. Using the Girsanov’s theorem of measure transformation, we find the equivalent martingale measure, and use the martingale method and the simpler mathematics Derive the European option with the stock price subject to the jump-diffusion process and the pricing formula of the compound option.