Jump Diffusion Model

Shin-Huei Wang ()
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Shin-Huei Wang: University of Southern California

Chapter 44 in Encyclopedia of Finance, 2022, pp 1073-1091 from Springer

Abstract: Abstract Jump diffusion processes have been used in modern finance to capture discontinuous behavior in asset pricing. Various jump diffusion models are considered in this chapter. Also, the applications of jump diffusion processes on stocks, bonds, and interest rate are discussed.

Keywords: Affine jump diffusion model; ARCH/GARCH jump diffusion model; Autoregressive jump process model; Bernoulli jump process; Black–Scholes model; Conditional jump dynamics; Gauss–Hermite jump process; Jump diffusion process; Jump diffusion with conditional heteroskedasticity; Mixed-jump process (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_44

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