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Merton Jump-Diffusion Modeling of Stock Price Data
Linnaeus University, Faculty of Technology, Department of Mathematics.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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. This is concluded visually not only by comparing the density functions but also by analyzing mean, variance, skewness and kurtosis of the log-returns.

One technical contribution to the thesis is a suggested decision rule for initial guess of a maximum likelihood estimation of the MJD-modeled parameters.

Place, publisher, year, edition, pages
2018. , p. 38
Keywords [en]
Black-Scholes Model, Poisson Process, Compound Poisson Process, Merton Jump-Diffusion Model
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:lnu:diva-78351OAI: oai:DiVA.org:lnu-78351DiVA, id: diva2:1257256
Educational program
Applied Mahtematics Programme, 180 credits
Presentation
2018-09-19, B2034, Linnaeus university, växjö, 14:31 (English)
Supervisors
Examiners
Available from: 2018-10-19 Created: 2018-10-19 Last updated: 2018-10-19Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf