Jump process

Jump process

A jump process is a type of stochastic process that has large discrete movements (jumps), rather than small continuous movements.

This concept is frequently used in finance. Various stochastic models are used to model the price movements of financial instruments; for example the Black Scholes model for pricing options assumes that the underlying instrument follows a traditional diffusion process, with small, continuous, random movements. John Carrington Cox and Stephen Ross proposed that prices actually follow a 'jump process'. The Cox-Ross-Rubinstein binomial model formalizes this approach. This is a more intuitive view of financial markets, with allowance for larger moves in asset prices caused by sudden world events.

Robert Merton extended this approach to a hybrid model known as jump diffusion, which states that the prices have large jumps followed by small continuous movements.

ee also

*Poisson Process


Wikimedia Foundation. 2010.

Игры ⚽ Нужна курсовая?

Look at other dictionaries:

  • Jump-diffusion models — A jump diffusion model is an option valuation model in which a jump process, in addition to diffusion process, is utilized to model the underlying …   Wikipedia

  • jump start — jump starts, jump starting, jump started 1) VERB To jump start a vehicle which has a flat battery means to make the engine start by getting power from the battery of another vehicle, using special cables called jump leads. [V n] He was huddled… …   English dictionary

  • Jump (Madonna) — Jump Single par Madonna extrait de l’album Confessions on a Dance Floor Photo: Face A Jump Face B History Sortie …   Wikipédia en Français

  • Jump (chanson) — Jump Single par Madonna extrait de l’album Confessions on a Dance Floor Photo: Face A Jump Face B History Sortie …   Wikipédia en Français

  • jump-start — v [T] 1.) also jump AmE to start a car whose ↑battery has lost power by connecting it to the battery of another car 2.) to help a process or activity to start or become more successful ▪ Congress hopes the tax cut will jump start the economy.… …   Dictionary of contemporary English

  • Jump The Gun — was an Irish band, best known for the performance of the entry of this country in the Eurovision Song Contest 1988 host in Dublin, called Take him home . After the voting process, Ireland get 79 points, reaching the 8th position. Jump The Gun was …   Wikipedia

  • Markov jump process — noun A time dependent variable that starts in an initial state and stays in that state for a random time, when it makes a transition to another random state, and so on …   Wiktionary

  • jump-start — 1. verb a) To start a motor vehicle by passing an electrical current from a charged battery to the discharged battery of the vehicle being started, by means of a booster cable connecting the two batteries. Giving a really good speech at the… …   Wiktionary

  • jump-start — verb (T) 1 to start a car whose battery 1 (1) has lost power by connecting it to the battery of another car 2 to help a process or activity start or become more successful: lowering taxes to jump start the economy jump start noun (C) …   Longman dictionary of contemporary English

  • Jump Cuts — VP These are cuts made in the editing process where shots of the same subject are cut together, but filmed from different angles. FilmM refers to a cut made in editing where two shots of the same subject, but taken from different angles, are put… …   Audio and video glossary

Share the article and excerpts

Direct link
… Do a right-click on the link above
and select “Copy Link”