Applying Merton Jump Diffusion Model in Financial Distress Prediction
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === The empirical evidence shows that the existence of fat-tail or jump in many financial assets return or assets value distribution is a really common phenomenon. In this paper, we try to add a jump component in order to describe the sudden drop or increase in firm’...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/88997394532241821719 |