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.
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9705 |