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Problems and Solutions in Mathematical Finance: Stochastic Calculus, Volume I by Eric Chin, Sverrir Olafsson, Dian Nel

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  1. 5. Geometric Mean-Reverting Jump Diffusion Model. Let c05-math-1007 be a probability space and let c05-math-1008 be a Poisson process with intensity c05-math-1009 and c05-math-1010 be a standard Wiener process relative to the same filtration c05-math-1011, c05-math-1012. Suppose c05-math-1013 follows a geometric mean-reverting jump diffusion process of the form
    equation

    where

    equation

    with c05-math-1014, c05-math-1015 and c05-math-1016 being ...

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