Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
gptkb:financial_technology |
| gptkbp:accountsFor |
sudden jumps in asset prices
|
| gptkbp:alternativeTo |
pure diffusion models
|
| gptkbp:assumes |
constant jump intensity
independent jump sizes log-normal jumps |
| gptkbp:category |
stochastic models
option pricing models |
| gptkbp:describes |
asset price dynamics
|
| gptkbp:extendsTo |
gptkb:Black-Scholes_model
|
| gptkbp:field |
mathematical finance
quantitative finance |
| https://www.w3.org/2000/01/rdf-schema#label |
Merton jump-diffusion model
|
| gptkbp:includes |
gptkb:Poisson_process
Brownian motion |
| gptkbp:proposedBy |
gptkb:Robert_C._Merton
|
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
Option pricing when underlying stock returns are discontinuous |
| gptkbp:relatedTo |
gptkb:exponential_Lévy_models
gptkb:stochastic_process gptkb:Lévy_processes financial derivatives |
| gptkbp:usedFor |
option pricing
|
| gptkbp:yearProposed |
1976
|
| gptkbp:bfsParent |
gptkb:jump-diffusion_models
gptkb:Black-Scholes-Merton_model |
| gptkbp:bfsLayer |
7
|