Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
|
| gptkbp:alsoKnownAs |
gptkb:Merton_jump-diffusion_model
|
| gptkbp:appliesTo |
equity markets
insurance mathematics credit risk modeling |
| gptkbp:capturedBy |
sudden large changes in asset prices
|
| gptkbp:describes |
asset price dynamics
|
| gptkbp:feature |
drift parameter
volatility parameter discontinuous sample paths jump intensity parameter random jump sizes |
| gptkbp:generalizes |
gptkb:Black-Scholes_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
jump-diffusion models
|
| gptkbp:includes |
gptkb:Poisson_process
Brownian motion random jumps |
| gptkbp:mathematicallyFormulatedBy |
stochastic differential equations
|
| gptkbp:proposedBy |
gptkb:Robert_C._Merton
|
| gptkbp:relatedTo |
gptkb:exponential_Lévy_models
gptkb:stochastic_process gptkb:Lévy_processes |
| gptkbp:usedIn |
option pricing
stochastic processes financial mathematics |
| gptkbp:yearProposed |
1976
|
| gptkbp:bfsParent |
gptkb:Black–Scholes–Merton_model
|
| gptkbp:bfsLayer |
6
|