Modeling risky asset prices with jump-diffusion processes

Modeling risky asset prices with jump-diffusion processes

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.

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Bibliographic Details
Main Authors: Jiang, Meiling, Yap, Ling Seang, Zhang, Grace Hui Ling
Other Authors: Cheang, Gerald Hock Lye
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Mathematical finance
Online Access:http://hdl.handle.net/10356/9705
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Institution: Nanyang Technological University
Description
Summary: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.

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