Book contents
- Frontmatter
- Contents
- Preface
- Part I Point Processes
- Part II Optimal Control in Discrete Time
- Part III Optimal Control in Continuous Time
- Part IV Non-Linear Filtering Theory
- Part V Applications in Financial Economics
- 16 Basic Arbitrage Theory
- 17 Poisson-Driven Stock Prices
- 18 The Simplest Jump-Diffusion Model
- 19 A General Jump-Diffusion Model
- 20 The Merton Model
- 21 Determining a Unique Q
- 22 Good-Deal Bounds
- 23 Diversifiable Risk
- 24 Credit Risk and Cox Processes
- 25 Interest-Rate Theory
- 26 Equilibrium Theory
- References
- Index of Symbols
- Subject Index
19 - A General Jump-Diffusion Model
from Part V - Applications in Financial Economics
Published online by Cambridge University Press: 27 May 2021
Book contents
- Frontmatter
- Contents
- Preface
- Part I Point Processes
- Part II Optimal Control in Discrete Time
- Part III Optimal Control in Continuous Time
- Part IV Non-Linear Filtering Theory
- Part V Applications in Financial Economics
- 16 Basic Arbitrage Theory
- 17 Poisson-Driven Stock Prices
- 18 The Simplest Jump-Diffusion Model
- 19 A General Jump-Diffusion Model
- 20 The Merton Model
- 21 Determining a Unique Q
- 22 Good-Deal Bounds
- 23 Diversifiable Risk
- 24 Credit Risk and Cox Processes
- 25 Interest-Rate Theory
- 26 Equilibrium Theory
- References
- Index of Symbols
- Subject Index
Summary
Here we study a fairly general jump–diffusion price process. We investigate the existence of equivalent martingale meaures, derive the Hansen–Jagannathan bounds, and extend the theory to include dividends. Completeness questions are discussed in some detail, and we also develop the theory for change of numeraire.
Keywords
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- Chapter
- Information
- Point Processes and Jump DiffusionsAn Introduction with Finance Applications, pp. 206 - 219Publisher: Cambridge University PressPrint publication year: 2021