Exchange Option Pricing under the Mixed-Exponential Jump Diffusion Model

Abstract

This paper considers a pricing problem on a kind of Exotic option: Exchange options under a mixed-exponential jump diffusion model within the stochastic interest rate and stochastic volatility framework. By applying the Feynman-Kac theorem, the joint characteristic function, and Fourier inverse transformation techniques, the semi-analytical pricing formula for the option is obtained. This research provides critical theoretical foundations and empirical insights for pricing related financial derivatives and managing associated risks.