Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.
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Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.
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Confirm that Merton's jump diffusion model satisfies put-call parity when the jump size is lognormal.

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Options Futures And Other Derivatives

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