Forums  > Pricing & Modelling  > Correlated Jump diffusion models  
     
Page 1 of 1
Display using:  

Tyszui


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

pj


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
book

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
Previous Thread :: Next Thread 
Page 1 of 1