JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
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Remarks on the transformation of Ito's formula for jump-diffusion processes
Naohiro Yoshida
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2015 Volume 7 Pages 29-32

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Abstract
In this paper, we give detailed proofs of the transformation of the sum of the jump components that appears in Ito's formula for jump-diffusion processes into the stochastic integral with respect to a certain counting process. As applications of the transformed Ito's formula, the Black-Scholes equations in the compound Poisson process model and the jump-diffusion process model are discussed.
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© 2015, The Japan Society for Industrial and Applied Mathematics
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