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Total Posts: 7
Joined: Dec 2013
Posted: 2017-02-17 21:24
Hi all,

very quick question: have you ever come across a simple jump diffusion model like Merton for which dW (the Brownian0 and dN (ie. the Poisson) are correlated?

Any paper reference is very much appreciated.

Thanks a lot


Total Posts: 3307
Joined: Jun 2004
Posted: 2017-02-18 09:50
Hi Tyszui,
Brownian and Poisson processes are always uncorrelated.

check here
I think there is a theorem about that in Revuz Yor

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
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