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Title: Modeling prices of risky assets.
Authors: Chen, Shiying.
Toh, Ziyin.
Yeo, Eunice Chai Hoon.
Keywords: DRNTU::Business::Finance::Mathematical finance
Issue Date: 2004
Abstract: This study seeks to examine the statistical distribution of risky asset prices in the US, Japan and Singapore. It is well known that many of the assumptions, including the log-normal distribution assumption of the asset prices, in the Black and Scholes (1973) model do not hold. Investigations are carried out first to verify for a variety of asset classes, whether the Black-Scholes log-normal distribution of asset prices holds.
Schools: Nanyang Business School 
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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