Essays about: "Furui Tang"

Found 1 essay containing the words Furui Tang.

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

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

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

    Abstract : 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. READ MORE