考虑了CEV与Kou双指数跳-扩散组合模型中的期权定价问题.首先,运用Ito公式和期权定价的无套利原理,得到了模型下期权价格所满足的偏积-微分方程.然后,运用中心差分和Lagrange线性插值,分别对偏积-微分方程中的微分项和积分项进行离散化处理,再由Euler法,最终得了偏积-微分方程的有限差分格式,并且对差分方法的误差和收敛性进行了分析.最后数值实验验证了该算法是一个稳定且收敛的算法. We consider the option pricing problem in the CEV and Kou dual exponential jump-diffusion combination model.Firstly, using the Ito formula and the option-free arbitrage-free theory, we obtain the partial differential-differential equation satisfied by the option price under the model.Secondly, Differential and Lagrange linear interpolation respectively, the differential terms and integral terms in the partial differential equation are respectively discretized. Finally, Euler method is used to obtain the finite difference scheme of partial differential-differential equation. The error and convergence of the differential method Finally, numerical experiments show that this algorithm is a stable and convergent algorithm.