Modeling prices of risky assets.
Yeo, Eunice Chai Hoon.
Date of Issue2004
College of Business (Nanyang Business School)
This study seeks to examine the statistical distribution of risky asset prices in the US, Japan and Singapore. It is well known that many of the assumptions, including the log-normal distribution assumption of the asset prices, in the Black and Scholes (1973) model do not hold. Investigations are carried out first to verify for a variety of asset classes, whether the Black-Scholes log-normal distribution of asset prices holds.
Final Year Project (FYP)
Nanyang Technological University