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I am not absolutely sure what you mean by diffusion-jump but if you mean jump-diffusion. Here are some references: Chapter 15, Concepts and Practice of Mathematical Finance, Joshi Cont and Tankov, Financial Modelling with Jump Processes Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier ...


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It appears that you are plotting your analytical delta as a % of the delta of the underlying. This is why the delta converges to 100% As for the numerical delta, it could be that you are not adjusting for the DV01 of the underlying. This would explain why the numerical delta still increases as the option gets more in the money and why the distortion is ...



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