Talk:Jump process
I disagree with the characterization of the CRR model as a Jump process. CRR is merely a discrete-time analog to the continuous time Black-Scholes model. Jump p
 | This article is rated Stub-class on Wikipedia's content assessment scale. It is of interest to the following WikiProjects: | ||||||||||
| |||||||||||
CRR is a Jump Process?!?
I disagree with the characterization of the CRR model as a Jump process. CRR is merely a discrete-time analog to the continuous time Black-Scholes model. Jump processes involve distributions that are distinctly non-Gaussian, unlike both BS and CRR with deal with Gaussian stock movements and constant volatility. Jump processes are related to stochastic volatiltiy models, not BS and CRR. Am I missing something? Ronnotel 22:23, 18 June 2007 (UTC)
Content Disclaimer
Informasi ini disarikan dari Wikipedia dan disajikan kembali untuk tujuan edukasi. Konten tersedia di bawah lisensi CC BY-SA 3.0. Kami tidak bertanggung jawab atas ketidakakuratan data yang bersumber dari kontribusi publik tersebut.
- The information displayed on this website is sourced in part or in whole from Wikipedia and has been adapted for the purpose of restating it. We strive to provide accurate and relevant information, however:
- There is no guarantee of absolute accuracy. Wikipedia is an open, collaborative project that can be edited by anyone, so information is subject to change.
- It is not intended to constitute professional advice. The content displayed is for informational and educational purposes only. For important decisions (e.g., medical, legal, or financial), please consult a professional.
- Content copyright. Wikipedia is licensed under the Creative Commons Attribution-ShareAlike License (CC BY-SA). This means that content may be reused with appropriate attribution and shared under a similar license.
- Responsible use. Any risk arising from the use of information from this website is entirely the responsibility of the user.