Merton jump-diffusion process
GPTKB entity
Statements (26)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
gptkb:stochastic_process |
| gptkbp:describes |
asset price dynamics
|
| gptkbp:extendsTo |
gptkb:Black-Scholes_model
|
| gptkbp:field |
mathematical finance
|
| gptkbp:hasModel |
sudden jumps in asset prices
|
| https://www.w3.org/2000/01/rdf-schema#label |
Merton jump-diffusion process
|
| gptkbp:includes |
gptkb:Poisson_process
Brownian motion |
| gptkbp:introduced |
gptkb:Robert_C._Merton
|
| gptkbp:introducedIn |
1976
|
| gptkbp:parameter |
drift
jump size distribution volatility jump intensity jump mean jump variance |
| gptkbp:publishedIn |
gptkb:Journal_of_Financial_Economics
Option Pricing when Underlying Stock Returns are Discontinuous |
| gptkbp:relatedTo |
gptkb:stochastic_process
jump process exponential Lévy model |
| gptkbp:usedFor |
option pricing
risk management |
| gptkbp:bfsParent |
gptkb:Lévy_processes
|
| gptkbp:bfsLayer |
6
|