这个首先要理解扩散过程下的期权定价
然后对泊松过程要有所掌握
当然有时还要考虑更一般的跳过程
这就更复杂一些了

agree

for Poisson jump, you have to know its definition. Its property and all the things related to stochastic calculus such as Ito lemma for Poisson process, and its martingale property.
actually, Browian motion and Poisson process are two extreme cases. One is pure continuous, one is pure discrete jump. Many other processes are between them. The most popular one is Levy process which is widely used for derivative pricing. For all the process, you just need the corresponding Ito lemma and martingale property so that you can get the PDE or solving the risk neutral expectation. It is not a big deal. Just a little harder than Browian Motion but many things are similar.

best,