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Jump-Diffusion vs. Black-Scholes: En empirisk studie
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2003 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Black-Scholes modell för optionsvärdering har sedan lanseringen 1973 varit den mest använda. Modellen har dock begränsningen att den inte tar hänsyn till att aktiepriset emellanåt kan företa sig tidsdiskreta språng. En utveckling av Black-Scholes modell som tar hänsyn till detta lanserades 1976 av Merton och kallas för Jump-Diffusion.

Place, publisher, year, edition, pages
2003.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-4263OAI: oai:DiVA.org:su-4263DiVA: diva2:193732
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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