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This paper proposes an option pricing technique we developed to approximate hedge jump risk under a CEV jumpdiffusion model. First, we established the options pricing model and the its partial differential equation by applying the Itô formula and non-arbitrage principle based on approximating hedge jump risk approximation; we next developed the concrete numerical algorithm for the equation by semi-discretizing the spatial variable. Finally, we verified the model's stability, convergence anddoi:10.21311/001.39.3.7 fatcat:depkyglydff67fs2peyepclg4u