o solve the option pricing problem with credit risk, a vulnerable option pricing model with stochastic interest rate under jump-diffusion process based on Klein model is proposed. In a continuous-time financial market, the jump-diffusion model of stock price and company value is obtained under the assumption of risk neutrality. An equivalent martingale measure is constructed for the pricing process of interest-bearing bonds, and the pricing formula of vulnerable call option is derived by using the Itō lemma and martingale method. The model takes into account jump risk and introduces stochastic interest rate, so it is more practical and can be degenerated into classical Klein model and B-S model under certain conditions.