{"id":{"repo_id":"reykjavik","oai_identifier":"oai:skemman.is:1946/33829"},"canonical_url":"https://search.dev.ndltd.org/etd/reykjavik/oai:skemman.is:1946/33829","repository":{"repo_id":"reykjavik","name":"Reykjavík University","base_url":"https://skemman.is/oai/request"},"display":{"title":"Comparison of asset pricing models using Icelandic stock data","abstract":"The Black and Scholes (BS) model is well known and is widely considered as a staple in the stock price modeling. Back when it was introduced, the model offered an easy way of pricing European options, which was revolutionary at the time. The model is made on the assumption that stocks follow a geometrical Brownian motion. This makes the model simple to use, but at the same time, limits its accuracy 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 simulating real world data was assessed through graphs and numbers. The main tools of the comparison were the density function outcome, and the skewness and kurtosis, according to the models. The outcome of this comparison shows that the MJD model manages to describe real world behaviour with much greater precision than the BS model, which is consistent with past research.","abstract_html":"The Black and Scholes (BS) model is well known and is widely considered as a staple in the stock price modeling. Back when it was introduced, the model offered an easy way of pricing European options, which was revolutionary at the time. The model is made on the assumption that stocks follow a geometrical Brownian motion. This makes the model simple to use, but at the same time, limits its accuracy 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 simulating real world data was assessed through graphs and numbers. The main tools of the comparison were the density function outcome, and the skewness and kurtosis, according to the models. The outcome of this comparison shows that the MJD model manages to describe real world behaviour with much greater precision than the BS model, which is consistent with past research.","abstract_has_math":false,"creators":["Ólöf Embla Kristinsdóttir 1994-"],"institution":null,"degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":["Háskólinn í Reykjavík"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019-06-19T12:58:12Z","date_published":"2019-06-19T12:58:12Z","updated_at":"2026-07-27T20:39:26Z","subjects":["Fjármálaverkfræði","Meistaraprófsritgerðir","Hlutabréf","Reiknilíkön","Tækni- og verkfræðideild","Financial engineering","Mathematical models","Bonds","School of Science and Engineering"],"languages":["en"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/1946/33829","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Háskólinn í Reykjavík"]},{"key":"dc:creator","label":"Author","values":["Ólöf Embla Kristinsdóttir 1994-"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2019-06-19T12:58:10Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2019-06-19T12:58:10Z"]},{"key":"dc:date.issued","label":"Date","values":["2019-06-19T12:58:12Z"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Fjármálaverkfræði","Meistaraprófsritgerðir","Hlutabréf","Reiknilíkön","Tækni- og verkfræðideild","Financial engineering","Mathematical models","Bonds","School of Science and Engineering"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/1946/33829"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["The Black and Scholes (BS) model is well known and is widely considered as a staple in the stock price modeling. Back when it was introduced, the model offered an easy way of pricing European options, which was revolutionary at the time. The model is made on the assumption that stocks follow a geometrical Brownian motion. This makes the model simple to use, but at the same time, limits its accuracy 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 simulating real world data was assessed through graphs and numbers. The main tools of the comparison were the density function outcome, and the skewness and kurtosis, according to the models. The outcome of this comparison shows that the MJD model manages to describe real world behaviour with much greater precision than the BS model, which is consistent with past research.","Black & Scholes (BS) líkanið er mjög þekkt og að margra mati þungamiðja aðferða í hlutabréfalíkönum. Líkanið gaf einfalda leið við verðlagningu evrópskra valréttarsamninga sem þótti byltingarkennd. Líkanið byggir á þeirri forsendu að hlutabréf fylgi geometrískri Brownian hreyfingu (e. geometric Brownian motion). Þetta gerir líkanið þægilegt í notkun en jafnframt takmarkað í því að lýsa raunverulegri hegðun hlutabréfa. Til samanburðar við BS líkanið var Merton jump-diffusion (MJD) líkanið skoðað. Það líkan byggir á þeirri forsendu að hlutabréf fylgi geometriskri Brownian hreyfingu með viðbættum \"stökk\" lið samkvæmt samsettu Poisson ferli (e. compound Poisson process). Geta líkananna til að endurspegla raunveruleg gögn var metin bæði í myndum og tölum. Helst var notast við samanburð á þéttifalli og svo á skeifni (e. skewness) og reisn (e. kurtosis) líkananna og borið saman við raunveruleg gögn. Þessar athuganir sýndu að MJD líkanið lýsir raunveruleikanum mun betur en BS líkanið. Niðurstöðurnar eru í góðu samræmi við það sem aðrir hafa lýst í sambærilegum verkefnum og greinum. vi"]},{"key":"dc:title","label":"Title","values":["Comparison of asset pricing models using Icelandic stock data","Samanburður á hlutabréfalíkönum með íslenskum gögnum"]}]}],"canonical_facts":{"dc:contributor":["Háskólinn í Reykjavík"],"dc:creator":["Ólöf Embla Kristinsdóttir 1994-"],"dc:date.accessioned":["2019-06-19T12:58:10Z"],"dc:date.available":["2019-06-19T12:58:10Z"],"dc:date.issued":["2019-06-19T12:58:12Z"],"dc:description.abstract":["The Black and Scholes (BS) model is well known and is widely considered as a staple in the stock price modeling. Back when it was introduced, the model offered an easy way of pricing European options, which was revolutionary at the time. The model is made on the assumption that stocks follow a geometrical Brownian motion. This makes the model simple to use, but at the same time, limits its accuracy 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 simulating real world data was assessed through graphs and numbers. The main tools of the comparison were the density function outcome, and the skewness and kurtosis, according to the models. The outcome of this comparison shows that the MJD model manages to describe real world behaviour with much greater precision than the BS model, which is consistent with past research.","Black & Scholes (BS) líkanið er mjög þekkt og að margra mati þungamiðja aðferða í hlutabréfalíkönum. Líkanið gaf einfalda leið við verðlagningu evrópskra valréttarsamninga sem þótti byltingarkennd. Líkanið byggir á þeirri forsendu að hlutabréf fylgi geometrískri Brownian hreyfingu (e. geometric Brownian motion). Þetta gerir líkanið þægilegt í notkun en jafnframt takmarkað í því að lýsa raunverulegri hegðun hlutabréfa. Til samanburðar við BS líkanið var Merton jump-diffusion (MJD) líkanið skoðað. Það líkan byggir á þeirri forsendu að hlutabréf fylgi geometriskri Brownian hreyfingu með viðbættum \"stökk\" lið samkvæmt samsettu Poisson ferli (e. compound Poisson process). Geta líkananna til að endurspegla raunveruleg gögn var metin bæði í myndum og tölum. Helst var notast við samanburð á þéttifalli og svo á skeifni (e. skewness) og reisn (e. kurtosis) líkananna og borið saman við raunveruleg gögn. Þessar athuganir sýndu að MJD líkanið lýsir raunveruleikanum mun betur en BS líkanið. Niðurstöðurnar eru í góðu samræmi við það sem aðrir hafa lýst í sambærilegum verkefnum og greinum. vi"],"dc:identifier.uri":["http://hdl.handle.net/1946/33829"],"dc:language.iso":["en"],"dc:subject":["Fjármálaverkfræði","Meistaraprófsritgerðir","Hlutabréf","Reiknilíkön","Tækni- og verkfræðideild","Financial engineering","Mathematical models","Bonds","School of Science and Engineering"],"dc:title":["Comparison of asset pricing models using Icelandic stock data","Samanburður á hlutabréfalíkönum með íslenskum gögnum"],"dc:type":["Thesis"]},"updated_at":"2026-07-27T20:39:26Z"}