DISCONTINUOUS PROCESSES

The following sections are included:

• Derivatives with Random Payoff Times

• Derivatives on Mixed Jump/Diffusions

  • Jumps plus Constant-Volatility Diffusions

  • Nonuniqueness of the Martingale Measure

  • European Options under Jump Dynamics

  • Properties of Jump-Dynamics Option Prices

  • Options Subject to Early Exercise

• Jumps Plus Stochastic Volatility

  • A Computationally Feasible Model

  • Pricing European Options

• Pure-Jump Models

  • The Variance-Gamma Model

  • The Hyperbolic Model

  • Asset Prices as Branching Processes

  • Assessing the Pure-Jump Models