Merton solved the option pricing problem by assuming that the jump risk is not priced. Critically evaluate

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Merton solved the option pricing problem by assuming that the jump risk is not priced. Critically evaluate this assumption. Suggest and illustrate (with at least one method) how you might solve the pricing problem of jump processes.

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Advanced Finance Theories

ISBN: 9789814460378

1st Edition

Authors: Ser-Huang Poon

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Question Posted: May 27, 2024 03:04 AM

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Merton solved the option pricing problem by assuming that the jump risk is not priced. Critically evaluate

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Advanced Finance Theories

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