Sökning: "Furui Tang"
Hittade 1 uppsats innehållade orden Furui Tang.
1. Merton Jump-Diffusion Modeling of Stock Price Data
Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)Sammanfattning : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. LÄS MER
Resultatsidor:
1