抄録
Emphasis is placed on the valuation of plain vanilla option when the
price process of underlying asset is described by the stochastic Verhulst-Gompertz
Equation with network externality effects in a complete market. The method is based
on the change of measure, Girsanov theorem and martingale valuation techinique.
The application to an exchange option is made attempt and the valuation formula for
this option like the Black-Scholes one is derived. A simple relationship similar to the
put-call-parity between the exchange call option and the put option is provided. Our
results will be useful to analyze and to hedge the price evolution at a sudden rise or
crash of stock and commodity markets.
