Sökning: "Furui Tang"

Hittade 1 uppsats innehållade orden Furui Tang.

  1. 1. Merton Jump-Diffusion Modeling of Stock Price Data

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Furui Tang; [2018]
    Nyckelord :Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

    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