Illustrates an example of jump-diffusion model
Illustrates an example of jump-diffusion model?
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A stock follows the lognormal random walk. In each month you roll a dice. As you roll a one so the stock price jumps discontinuously. The size of its jump is decided through a random number you draw from a hat. It is not a great illustration as the Poisson process is a continuous process, not a quarterly event.
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