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Jump Diffusion Model

In: Encyclopedia of Finance

Author

Listed:
  • Shin-Huei Wang

    (University of Southern California
    The Center for Operations Research and Econometrics (CORE))

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.

Suggested Citation

  • Shin-Huei Wang, 2022. "Jump Diffusion Model," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 44, pages 1073-1091, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_44
    DOI: 10.1007/978-3-030-91231-4_44
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    Cited by:

    1. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.

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