I am trying to understand the concept of jump diffusion model. So far what I've understood is that by adding a Jump parameter to a GBM (Geometric Brownian Motion) we can generate a Jump diffusion model. To add jump parameter we need to calculate the jump coefficient at each time step.
I am not sure on how to calculate jump size at each time step and how would I calculate mean(
mu) and variance(
sigma) of jump size?
Can anyone suggest a reading which is simpler to understand?