Merton's jump diffusion model

Added Merton76.pdf to papers. He specifies a compound Poisson process with normally distributed jumps. The model replaces Brownian motion with X(t) = B(t) + sum_{T_j < t} N_j, where N_j are in...

Id #1577 | Release: None | Updated: Apr 18, 2013 at 4:09 PM by keithalewis | Created: Apr 18, 2013 at 1:01 AM by keithalewis

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