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| Modello Jump-Diffusion di Merton× | Modello di Portafoglio Black-Litterman× | |
|---|---|---|
| Campo | Finanza | Finanza |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1976 | 1992 |
| Ideatore≠ | Robert C. Merton | Fischer Black & Robert Litterman |
| Tipo≠ | Continuous-time asset price model (diffusion plus Poisson jumps) | Bayesian portfolio allocation model |
| Fonte seminale≠ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ | Black, F. & Litterman, R. (1992). Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28-43. DOI ↗ |
| Alias | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) | Black-Litterman, BL model, Black-Litterman Portföy Modeli |
| Correlati≠ | 4 | 5 |
| Sintesi≠ | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. | The Black-Litterman model, introduced by Fischer Black and Robert Litterman in 1992, is a Bayesian portfolio allocation framework that blends market-equilibrium returns with an investor's own views to produce more stable, intuitive portfolios. It was designed to cure the extreme concentration and input sensitivity of classical Markowitz mean-variance optimisation. |
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