Jump-Diffusion Processes

Carl Chiarella, Xuezhong (Tony) He () and Christina Sklibosios Nikitopoulos
Additional contact information
Christina Sklibosios Nikitopoulos: University of Technology Sydney

Chapter Chapter 12 in Derivative Security Pricing, 2015, pp 251-271 from Springer

Abstract: Abstract This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide solutions when both the stock price and Poisson jump size are log-normal. We also extend Ito’s lemma for the jump-diffusion processes.

Keywords: Asset Price; Stochastic Differential Equation; Wiener Process; Jump Process; Jump Size (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-45906-5_12

Ordering information: This item can be ordered from
http://www.springer.com/9783662459065

DOI: 10.1007/978-3-662-45906-5_12

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().