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Tagged with jump-diffusion risk-neutral-measure
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Risk neutral measure for jump processes
Assume we model the dynamics of a tradable asset as follows
$$ S_t = S_0 \exp\left[\sigma W_t +(\alpha-\beta\lambda-\frac{1}{2}\sigma^2)t+J_t \right] $$
where $W_t$ is a standard Brownian motion ...
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