Skip to main content

Questions tagged [jump-diffusion]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
5 votes
1 answer
1k views

Risk neutral measure for jump processes

Assume we model the dynamics of a tradable asset as follows $$ S_t = S_0 \exp\left[\sigma W_t +(\alpha-\beta\lambda-\frac{1}{2}\sigma^2)t+J_t \right] $$ where $W_t$ is a standard Brownian motion ...
user7843's user avatar