| 词条 | Jump process |
| 释义 |
A jump process is a type of stochastic process that has discrete movements, called jumps, with random arrival times, rather than continuous movement, typically modelled as a simple or compound Poisson process.[1] In finance, various stochastic models are used to model the price movements of financial instruments; for example the Black–Scholes model for pricing options assumes that the underlying instrument follows a traditional diffusion process, with continuous, random movements at all scales, no matter how small. John Carrington Cox and Stephen Ross[2]{{rp|145–166}} proposed that prices actually follow a 'jump process'. Robert C. Merton extended this approach to a hybrid model known as jump diffusion, which states that the prices have large jumps interspersed with small continuous movements.[3]See also
References1. ^Tankov, P. (2003). Financial modelling with jump processes (Vol. 2). CRC press. {{Stochastic processes}}{{DEFAULTSORT:Jump Process}}{{probability-stub}}{{economics-stub}}2. ^{{Cite journal | last1 = Cox | first1 = J. C. | authorlink1 = John Carrington Cox| last2 = Ross | first2 = S. A. | authorlink2 = Stephen Ross (economist)| doi = 10.1016/0304-405X(76)90023-4 | title = The valuation of options for alternative stochastic processes | journal = Journal of Financial Economics| volume = 3 | issue = 1–2 | pages = 145–166 | year = 1976 | pmid = | pmc = | citeseerx = 10.1.1.540.5486 }} 3. ^{{Cite journal | last1 = Merton | first1 = R. C. | authorlink1 = Robert C. Merton| doi = 10.1016/0304-405X(76)90022-2 | title = Option pricing when underlying stock returns are discontinuous | journal = Journal of Financial Economics| volume = 3 | issue = 1–2 | pages = 125–144 | year = 1976 | pmid = | pmc = | hdl = 1721.1/1899| citeseerx = 10.1.1.588.7328 }} 1 : Stochastic processes |
| 随便看 |
|
开放百科全书收录14589846条英语、德语、日语等多语种百科知识，基本涵盖了大多数领域的百科知识，是一部内容自由、开放的电子版国际百科全书。