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- W4242179145 abstract "This Demonstration displays one path of Mertons jump diffusion stochastic process. This process extends the notion of the standard Black–Scholes model by allowing discrete jumps in addition to a Brownian process motion as the source of randomness. The jumps occur at random times. The interarrival times of the jumps follow an exponential distribution while the size of the jumps has a norm;" @default.
- W4242179145 created "2022-05-12" @default.
- W4242179145 date "2008-07-07" @default.
- W4242179145 modified "2023-09-27" @default.
- W4242179145 title "Merton's Jump Diffusion Model" @default.
- W4242179145 doi "https://doi.org/10.3840/08003663" @default.
- W4242179145 hasPublicationYear "2008" @default.
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