Cheang, Gerald H.L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008
, Compound Poisson
processes, Radon-Nikod¶ym derivative, Multi-asset options, Integro-partial difierential
equation.
JEL …;t and hi;t. The multi-asset equivalent of Merton’s
(1976) model under which the distribution of the jump components does not … thus the jump-risks remain unpriced. This generalizes
the situation considered in Merton (1976) to the multi-asset case …