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Encyclopedia of Finance pp 676–688Cite as

Jump diffusion model

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Abstract

Jump diffusion processes have been used in modern finance to capture discontinuous behavior in asset pricing. Various jump diffusion models are considered in this chapter. Also, the applications of jump diffusion processes on stocks, bonds, and interest rate are discussed.

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Author information

Authors and Affiliations

  1. University of Southern California, Los Angeles, USA

    Shiu-Huei Wang

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  1. Shiu-Huei Wang
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Editor information

Editors and Affiliations

  1. Rutgers University, New Brunswick/Piscataway, USA

    Cheng-Few Lee

  2. San Francisco State University, San Francisco, USA

    Alice C. Lee

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© 2006 Springer Science+Business Media, Inc.

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Wang, SH. (2006). Jump diffusion model. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-26336-6_69

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  • DOI: https://doi.org/10.1007/978-0-387-26336-6_69

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-0-387-26284-0

  • Online ISBN: 978-0-387-26336-6

  • eBook Packages: Business and Economics

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