Provided that stock price process is a jump-diffusion process, the rate of return and the volatility are functions of time, the pricing formula of exponential European jump option can be obtained with the principle of equivalent martingale measure.

• 摘要假定股票价格过程服从跳跃－扩散过程，且无风险利率，股票收益率、波动率均为时间函数，利用等价鞅测度方法得出了支付函数为幂型的欧式期权定价公式。