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A question about the Grossman-Miller Market Making Model
if someone has a good explanation I would like to hear it as well.
I have just started reading the book as well, but to my understanding what they mean is that since it's discrete time, coming into ...
1
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Modelling considerations for a jump model
Note that,
\begin{align*}
d\big( e^{-\mu t}S_t \big) &= -\mu e^{-\mu t}S_t dt + e^{-\mu t}S_{t-}(\mu dt + Y_t dN_t)\\
&=e^{-\mu t}S_{t-}Y_t dN_t.
\end{align*}
From the Doleans-Dade exponential ...
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