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.

Saved in:

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
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-9705
record_format	dspace
spelling	sg-ntu-dr.10356-97052023-05-19T05:44:55Z Modeling risky asset prices with jump-diffusion processes Jiang, Meiling Yap, Ling Seang Zhang, Grace Hui Ling Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Mathematical finance 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. 2008-09-24T07:35:16Z 2008-09-24T07:35:16Z 2005 2005 Final Year Project (FYP) http://hdl.handle.net/10356/9705 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 Jiang, Meiling Yap, Ling Seang Zhang, Grace Hui Ling Modeling risky asset prices with jump-diffusion processes
description	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.
author2	Cheang, Gerald Hock Lye
author_facet	Cheang, Gerald Hock Lye Jiang, Meiling Yap, Ling Seang Zhang, Grace Hui Ling
format	Final Year Project
author	Jiang, Meiling Yap, Ling Seang Zhang, Grace Hui Ling
author_sort	Jiang, Meiling
title	Modeling risky asset prices with jump-diffusion processes
title_short	Modeling risky asset prices with jump-diffusion processes
title_full	Modeling risky asset prices with jump-diffusion processes
title_fullStr	Modeling risky asset prices with jump-diffusion processes
title_full_unstemmed	Modeling risky asset prices with jump-diffusion processes
title_sort	modeling risky asset prices with jump-diffusion processes
publishDate	2008
url	http://hdl.handle.net/10356/9705
_version_	1770567224657969152

Modeling risky asset prices with jump-diffusion processes

Similar Items