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Derivatives


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Jump Process


A stochastic process which describes the movements in the price of a derivative‘s underlying through time. In this process, the price of the underlying is defined as jumps from one point to another in steps wider than what is generated in typical random processes proposed by the Black-Scholes model. The jump process was first proposed by John Cox and Stephen Ross and was later extended by the binomial model developed by Cox, Ross, and Rubinstein.


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