@inbook{f3858b3403db4730a0d413e43336c346,
title = "Jump-Diffusion Processes",
abstract = "This chapter considers jump-diffusion processes to allow for price fluctuations to have two components, one consisting of the usual increments of a Wiener process, the second allows for “large” jumps from time-to-time. We introduce Poisson jump process with either absolute or proportional jump sizes through the stochastic integrals and provide solutions when both the stock price and Poisson jump size are log-normal. We also extend Ito{\textquoteright}s lemma for the jump-diffusion processes.",
keywords = "Asset Price, Jump Process, Jump Size, Stochastic Differential Equation, Wiener Process",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_12",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "251--271",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}