(a) Make a chart similar to Fig. 6.9 showing the price of a put option using the jump diffusion model with lognormal jumps for stock prices versus the GBM model. In order to compare the results with jump diffusion using N(μ_J , σ² _J) jumps, find α and β to match the mean and variance,

(b) Do the same for calls.

Data Given in Figure 6.9

Transcribed Image Text:

H₁ = HLN = e²+², o = (²-1)H²N-