http://people.math.jussieu.fr/~tankov/body.html appears to be the guru of this subject
isn't the answer just the normal Ito formula, plus a term for the jumps? Am I missing something here (almost certainly) best dd > ----- Original Message ----- > From: "Sabri Oncu" <[EMAIL PROTECTED]> > To: "pen-l" <[email protected]> > Subject: [Pen-l] Re: A question to the econometricians and other technical > guys > Date: Sat, 4 Oct 2008 23:52:56 -0400 > > > Les: > > > seems like the reference you want is: > > > > Merton, R. 1976 Option Pricing when Underlying Stock Returns are > > Discontinuous, Journal of Financial Economics, 125-144, May 1976 > > Oh, no! He seems to be one of the confused guys I was referring to and > there are a few other big names I had in mind. I am confused, too, so > I do not hold this against them. > > But thanks, I will check the other references you sent. > > Any other leads? > > Best > _______________________________________________ > pen-l mailing list > [email protected] > https://lists.csuchico.edu/mailman/listinfo/pen-l > _______________________________________________ pen-l mailing list [email protected] https://lists.csuchico.edu/mailman/listinfo/pen-l
