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17 - Poisson-Driven Stock Prices

from Part V - Applications in Financial Economics

Published online by Cambridge University Press:  27 May 2021

Tomas Björk
Affiliation:
Stockholm School of Economics
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Summary

We present an introductory example featuring a stock price process driven by a Poisson process. This is analyzed in some detail using both the classical Black–Scholes and the modern martingale technique.

Type
Chapter
Information
Point Processes and Jump Diffusions
An Introduction with Finance Applications
, pp. 188 - 197
Publisher: Cambridge University Press
Print publication year: 2021

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  • Poisson-Driven Stock Prices
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.023
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  • Poisson-Driven Stock Prices
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.023
Available formats
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Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • Poisson-Driven Stock Prices
  • Tomas Björk, Stockholm School of Economics
  • Book: Point Processes and Jump Diffusions
  • Online publication: 27 May 2021
  • Chapter DOI: https://doi.org/10.1017/9781009002127.023
Available formats
×