# Tag Info

## Hot answers tagged jump-diffusion

### Does discretizing a diffusion model make it look like a jump diffusion model?

This not possible. The compensated Poisson process $N_t-\lambda t$ converges in the limit of large intensity $\lambda$ to a Brownian motion with variance rate $\lambda\,.$ Therefore, the pure jump ...
• 2,013
1 vote

### Kou model — solving PIDE for European and American options in Python

The issue I described in my initial question is linked to the integral term. In the paper, this term is multiply by $\theta \Delta \text{t}$ but this is only the "implicit" part of the ...
• 86
1 vote
Accepted

### Pure jump process in Duffie, Pan and Singleton's paper

Essentially yes - $Z_t$ is a compound Poisson process, except that the underlying counting process $N_t$ has intensity $\lambda(X_t)$. I.e  N_t - N_s \sim Pois\bigg( \int_s^t \lambda(X_u) \mathrm{d}...
• 178
1 vote

### Does discretizing a diffusion model make it look like a jump diffusion model?

The principle is to assume some mathematical models (for example: the sample is generated from a log-normal process, or log-normal process with jumps, or CIR process, ...) and then estimate the ...
• 1,008

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