A Modern View on Merton's Jump-Diffusion Model
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References listed on IDEAS
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Aase, Knut K., 1988. "Contingent claims valuation when the security price is a combination of an Ito process and a random point process," Stochastic Processes and their Applications, Elsevier, vol. 28(2), pages 185-220, June.
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- Scalas, Enrico & Politi, Mauro, 2012.
"A parsimonious model for intraday European option pricing,"
Economics Discussion Papers
2012-14, Kiel Institute for the World Economy (IfW).
- Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
- repec:wsi:ijtafx:v:18:y:2015:i:04:n:s0219024915500247 is not listed on IDEAS
- Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015.
"Approximate Hedging Of Options Under Jump-Diffusion Processes,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
- Karl Mina & Gerald Cheang & Carl Chiarella, 2013. "Approximate Hedging of Options under Jump-Diffusion Processes," Research Paper Series 340, Quantitative Finance Research Centre, University of Technology, Sydney.
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Keywordsfinancial derivatives; compound Poisson processes; equivalent martingale measure; hedging portfolio;
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