Mixed Processes

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 10 in Mathematical Methods for Financial Markets, 2009, pp 551-590 from Springer

Abstract: Abstract In this chapter, we present stochastic calculus for mixed processes (also often called jump-diffusions), i.e., loosely speaking they are processes whose dynamics are driven by a pair of processes consisting of a Brownian motion and a compound Poisson process. We give some applications to finance.

Keywords: Poisson Process; Option Price; Risky Asset; American Option; Contingent Claim (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-84628-737-4_10

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DOI: 10.1007/978-1-84628-737-4_10

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