The Valuation of Rainbow Options under the Jump-Diffusion Process

There are existing literatures about analytic solutions for rainbow options and single-asset vanilla options under jump-diffusion processes. However, there is no literature about analytic solution of rainbow options under the jump-diffusion process. For the purpose of solving this problem, I propose a pricing formula to evaluate the rainbow options under the jump-diffusion process with the technique of change-of-probability-measure and the martingale pricing method in this paper.