𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Macaulay and closed form duration formulas

✍ Scribed by van Zijl, Tony

Book ID
121915963
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
354 KB
Volume
22
Category
Article
ISSN
0890-8389

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## Abstract This paper explores the effect of extreme events or big jumps downwards and upwards on the jump‐diffusion option pricing model of Merton (1976). It starts by obtaining a special case of the jump‐diffusion model where there is a positive probability of a big jump downwards. Then, it obta