Jumps

Discontinuous prices: Merton’s jump diffusion, the variance gamma process in its symmetric and skewed forms, Bates’s jumps on top of Heston, and Kou’s double-exponential jumps.

Merton’s jump diffusion

Merton's jump diffusion

Madan and Seneta’s variance gamma

Madan and Seneta's variance gamma

Bates: jumps and stochastic volatility

Bates: jumps and stochastic volatility

Madan, Carr and Chang’s skewed variance gamma

Madan, Carr and Chang's skewed variance gamma

Kou’s double-exponential jumps

Kou's double-exponential jumps