Mertonのジャンプ拡散を使ってオプション価格をモデル化する
オプション価格付けについてMertonのジャンプ拡散モデルを定義する．
| In[1]:= |  X |
過程のシミュレーションを行う．
| In[2]:= |  X |
| In[3]:= |  X |
| Out[3]= |  |
過程に対するスライス特性を計算する．
| In[4]:= |  X |
| Out[4]= |  |
サンプルからスライス分布を近似する．
| In[5]:= |  X |
| In[6]:= |  X |
| Out[6]= |  |
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