Confirm that Merton's jump-diffusion model satisfies put-call parity when the jump size is lognormal. AppendixLO1

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

AppendixLO1

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Options Futures And Other Derivatives

ISBN: 978-8120331693

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Authors: Buss/redburn/guo

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Question Posted: Sep 19, 2024 06:02 AM

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Confirm that Merton's jump-diffusion model satisfies put-call parity when the jump size is lognormal. AppendixLO1
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Calculate the price of a two-year zero-coupon bond from the tree in Figure 32.7 and verify that it agrees with the initial term structure.

Confirm that Merton's jump-diffusion model satisfies put-call parity when the jump size is lognormal. AppendixLO1

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