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An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees
Bibliography: pages 117-[124].
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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| _version_ | 1867613271791501312 |
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| access_status_str | Open Access |
| author | Gamerov, Steven |
| author2 | Dorrington, Rob |
| author_browse | Dorrington, Rob Gamerov, Steven |
| author_facet | Dorrington, Rob Gamerov, Steven |
| author_sort | Gamerov, Steven |
| collection | Thesis |
| description | Bibliography: pages 117-[124]. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/17475 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:28.738Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/17475 An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees Gamerov, Steven Dorrington, Rob Actuarial Science Bibliography: pages 117-[124]. This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee. 2016-03-04T16:44:21Z 2016-03-04T16:44:21Z 1995 Master Thesis Masters MBusSc http://hdl.handle.net/11427/17475 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Actuarial Science Gamerov, Steven An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| thesis_degree_str | Master's |
| title | An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| title_full | An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| title_fullStr | An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| title_full_unstemmed | An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| title_short | An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees |
| title_sort | investigation into the use of the black scholes model for pricing long term options for the purpose of costing maturity guarantees |
| topic | Actuarial Science |
| url | http://hdl.handle.net/11427/17475 |
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