Notice of RetractionPricing of Bi-direction European Option Under a Kind of Jump Diffusion Model

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

The main purpose of this paper is to study the stock price jump process is more common than Poisson process -a kind of special renewal process-the incident time interval is independent random variable sequence and identical subordinate to Gamma distribution. The object of study is European bi-direction option, It also known as the double two-way options. Also, European bi-direction option is an exotic option. Then, build up stochastic differential equation under the circumstance of the market no arbitrage based on stochastic analysis and martingale theory. Based on the above discussion, we obtain the European bi-direction option pricing formulas under jump diffusion model by simple mathematical induce by means of martingale method.