In this paper, we study the risk-neutral investor’s equilibrium equity premium in a semi-martingale market with arbitrary, normal, binomial and gamma jumps. We simulate graphs for discrete distribution of jump amplitudes in order to study the parameter effect. The equity premium for this investor remains the same regardless of αα and ββ variations in the linear utility function. In fact, there is no optimal consumption for β=1β=1. For normal jumps, our results are consistent with the risk-averse investor’s power utility effect on the equity premium. However, the binomial and gamma amplitudes show significant variations between risk neutrality and risk aversion.

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