An Emppirical Study on Asymmetric Jump Diffusion
For Option and Annuity Pricing

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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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Bibliographic Details
Main Author:	Lau, Kein Joe
Format:	Final Year Project / Dissertation / Thesis
Published:	2018
Subjects:	QA Mathematics TA Engineering (General). Civil engineering (General)
Online Access:	http://eprints.utar.edu.my/3613/ http://eprints.utar.edu.my/3613/1/SCA%2D2018%2D1601201%2D1.pdf

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