An Emppirical Study on Asymmetric Jump Diffusion For Option and Annuity Pricing
In this research, we are presenting a method for estimation of market parameters modeled by jump diffusion process. As we are concerned about the current pricing model with geometric Brownian motion is not sufficient to capture the events of jump spikes. The method proposed is based on the Gibbs sa...
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| Format: | Final Year Project / Dissertation / Thesis |
| Published: |
2018
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| Online Access: | http://eprints.utar.edu.my/3613/1/SCA%2D2018%2D1601201%2D1.pdf http://eprints.utar.edu.my/3613/ |
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