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Simple question concerning Jump process (Lévy process) model for a risky actif price process [closed]
Consider $X= \left( X_t \right)_{t\geq 0}$ is a Lévy process whose characteristic triplet is $\left( \gamma, \sigma ^2, \nu \right)$ and where its Lévy measure is
$$ \nu \left( dx\right) = A ...
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Discrete-time Jump-Diffusion Model
I am wondering if anybody could point me to any literature that talks about a discrete time version of the jump-diffusion model, I am aware that there is a paper by Amin (1993) that shows a discrete ...
