Modeling prices of risky assets.

Modeling prices of risky assets.

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 ca...

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Main Authors: Chen, Shiying., Toh, Ziyin., Yeo, Eunice Chai Hoon.
Other Authors: Cheang, Gerald Hock Lye
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Mathematical finance
Online Access:http://hdl.handle.net/10356/9316
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-9316
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spelling sg-ntu-dr.10356-93162023-05-19T06:16:14Z Modeling prices of risky assets. Chen, Shiying. Toh, Ziyin. Yeo, Eunice Chai Hoon. Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Mathematical finance 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. 2008-09-24T07:31:03Z 2008-09-24T07:31:03Z 2004 2004 Final Year Project (FYP) http://hdl.handle.net/10356/9316 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Mathematical finance
spellingShingle DRNTU::Business::Finance::Mathematical finance
Chen, Shiying.
Toh, Ziyin.
Yeo, Eunice Chai Hoon.
Modeling prices of risky assets.
description 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.
author2 Cheang, Gerald Hock Lye
author_facet Cheang, Gerald Hock Lye
Chen, Shiying.
Toh, Ziyin.
Yeo, Eunice Chai Hoon.
format Final Year Project
author Chen, Shiying.
Toh, Ziyin.
Yeo, Eunice Chai Hoon.
author_sort Chen, Shiying.
title Modeling prices of risky assets.
title_short Modeling prices of risky assets.
title_full Modeling prices of risky assets.
title_fullStr Modeling prices of risky assets.
title_full_unstemmed Modeling prices of risky assets.
title_sort modeling prices of risky assets.
publishDate 2008
url http://hdl.handle.net/10356/9316
_version_ 1770565963325898752

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