Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 7 of 7 for “"Merton Jump Diffusion"”.
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Modelling long-term security returns
… follow a normal distribution. Additionally, the Merton Jump Diffusion (MJD) model is considered to account for jumps in stock trajectories with an independent Poisson process term based on the GBM model. Market crashes, defined as a decline of at least 10% in the S&P500 over a maximum of 252 …
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Comparison of asset pricing models using Icelandic stock data
… in simulating real world stock behaviour. The Merton jump-diffusion (MJD) model is also made on the assumption that stocks follow a geometrical Brownian motion, but has an added "jump" component which follows a compound Poisson process. These two models were compared and their accuracy in …
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A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes
… constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. …
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Error analysis of the COS method for options pricing
… Gamma (VG), CGMY, Normal Inverse Gaussian (NIG), Merton jump-diffusion, and Kou double-exponential jump model, which encompass a range of jump and heavy-tailed behaviors. Through extensive numerical experiments, we demonstrate that the COS method achieves high accuracy and rapid convergence across …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with the no–arbitrage principle. In particular, our mathematical developments include fBm defined through Mandelbrot–Van Ness kernels, and advanced mathematical tools such Molchan martingale and BDG inequalities ensuring …
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Multi-period market risk estimation and performance evaluation : evidence from univariate, multi-variate and options data
… pricing model, Bates option pricing model, Merton jump diffusion option pricing model, Kou option pricing model and variance gamma option pricing model with a traditional Black-Scholes option pricing model. We also evaluate expected shortfall estimates for European options for 1-day and …
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Option Pricing models with Stochastic Volatility and Jumps
… (such as stochastic volatility effects and jumps in the price of the underlying). This dissertation tackles the question of which option pricing model to use; it compares diffusion, pure jump and jump-diffusion models. All models are fitted to one-day price data on S&P500 European vanilla …