For the Merton process: demonstrate that we can recover the Merton equation from the expression: where and
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For the Merton process:
demonstrate that we can recover the Merton equation from the expression: 
where 
and the expectation takes into account the behaviour of the portfolio conditional on a jump, and conditional on no jumps. (This is effectively the original CAPM based argument used by Merton.)
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Related Book For 
The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market
ISBN: 9781848167728,9781908979582
1st Edition
Authors: George Kaye
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