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Results tagged with merton-model
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user 19595
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Variance of the log returns in jump diffusion with time-varying jump sizes
I'm trying to calculate the variance $\mathrm{var}\left(\log\frac{S\left(t\right)}{S\left(0\right)}\right)$, where the dynamics of the stock $S$ follows a jump-diffusion process given by $$\frac{dS\le …
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