Mfumo wa Merton Jump-Diffusion
Mfumo wa Merton Jump-Diffusion, ulioanzishwa na Robert C. Merton mnamo 1976, unapanua Mwendo wa Kijiometri wa Brownian (Geometric Brownian Motion) kwa kuongeza mabadiliko ya ghafla ya bei yanayotokana na mchakato wa Poisson. Unanasa tabasamu la tete (volatility smile) na tabia ya mikia minene ya mapato ambayo mfumo wa kawaida wa Black-Scholes hauwezi kueleza, na unatumika sana katika ukadiriaji wa bei za chaguo (option pricing) na usimamizi wa hatari.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI: 10.1016/0304-405X(76)90022-2 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Merton Jump-Diffusion Model. ScholarGate. https://scholargate.app/sw/finance/jump-diffusion-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Mfumo wa Ugawaji Mali wa Black-LittermanFedha↔ compare
- Modeli wa GARCH (Utabiri wa Msukosuko)Ekonometriki↔ compare
- Mfumo wa HAR-RV wa Matumizi Halisi ya KutikisikaFedha↔ compare
- Biashara ya Jozi (Usuluhishi wa Takwimu)Fedha↔ compare
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