Equation: Clewlow and Strickland jump-diffusion mean-reversion

Clewlow and Strickland jump-diffusion mean-reversion

created by:

Thijs van den Berg (http://www.sitmo.com)

This is the Clewlow and Strickland jump-diffusion mean-reversion SDE. This process is used to describe processes in the energy markets.

S	Asset price
	Mean reversion rate
	Mean reversion level
K	Jumps with lognoral distribution
	Mean jump size
	Average number of jumps per year
W	Wiener process
Q	Poisson process

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