21. Discontinuous Price Processes

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch21

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Discontinuous Price Processes, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch21

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • discontinuous price processes;
  • merton's jump-diffusion model;
  • variance-gamma model;
  • stock prices;
  • branching processes

Summary

This chapter contains sections titled:

  • Merton's Jump–Diffusion Model

  • The Variance–Gamma Model

  • Stock Prices as Branching Processes

  • Is Replication Possible?

  • Exercises