Modeling risky asset prices with jump-diffusion processes

• 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
• Institution: Nanyang Technological University

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.