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A jump process is a type of stochastic process that has discrete movements, called jumps, rather than small continuous movements. A general mathematical framework relating discrete-time processes to continuous time ones is the continuous-time random walk. In physics, jump processes result in diffusion. On a microscopic level, they are described by jump diffusion models. In finance, various stochastic models are used to model the price movements of financial instruments; for example the Black–Scholes model for pricing options assumes that the underlying instrument follows a traditional diffusion process, with small, continuous, random movements. John Carrington Cox and Stephen Ross proposed that prices actually follow a 'jump process'. The Cox–Ross–Rubinstein binomial options pricing model formalizes this approach. This is a more intuitive view of financial markets, with allowance for larger moves in asset prices caused by sudden world events. Robert C. Merton extended this approach to a hybrid model known as jump diffusion, which states that the prices have large jumps followed by small continuous movements. ==See also== *Levy process *Poisson process *Counting process *Interacting particle system *Kolmogorov equations * Kolmogorov equations (Markov jump process) 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Jump process」の詳細全文を読む スポンサード リンク
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