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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 | 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) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-REPORTS_2329.pdf Restricted Access | 1.01 MB | Adobe PDF | View/Open |
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