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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 ...
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How option value default adjusted in jump diffusion model

According to the doc here: http://faculty.baruch.cuny.edu/jgatheral/JumpDiffusionModels.pdf. Formula 7 specifies that the option value under jump diffusion model becomes: So when the default ...
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