Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/9705
Title: Modeling risky asset prices with jump-diffusion processes
Authors: Jiang, Meiling
Yap, Ling Seang
Zhang, Grace Hui Ling
Keywords: DRNTU::Business::Finance::Mathematical finance
Issue Date: 2005
Abstract: Modeling the prices of Risky Assets using a Jump-Diffusion process and comparing its effectiveness to the traditional Pure Diffusion models through the likelihood ratio test. The EM method has been employed in finding parameters estimates of the Jump-Diffusion model.
URI: http://hdl.handle.net/10356/9705
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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