A Revision of the Merton Jump-Diffusion Model : A Simple, Explicit Formula

In this paper, we show that the influential Merton jump diffusion model and formula are needlessly cumbersome. In doing so, we provide a simple, explicit formula that doesn't require a computational method. Furthermore, we introduce a new, simple method for solving partial differential-difference equations

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Year of publication:	2020
Authors:	Alghalith, Moawia
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2019 erstellt
Other identifiers:	10.2139/ssrn.3412520 [DOI]
Classification:	G0 - Financial Economics. General ; C0 - Mathematical and Quantitative Methods. General ; C5 - Econometric Modeling ; D5 - General Equilibrium and Disequilibrium
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012848753