Geometric Brownian Motion and Jump-Diffusion Models
摘要
This chapter extends option pricing beyond the continuous paths of classical diffusion models by incorporating jumps into the asset price dynamics. Real-world markets often exhibit sudden price movements—due to earnings announcements, macroeconomic shocks, or unexpected events—that cannot be captured by standard geometric Brownian motion (GBM). Jump-diffusion models combine diffusion with Poisson-driven jumps, providing a richer framework for realistic asset modeling and option pricing.