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Options and volatility effects in South Africa
This thesis examines and extends research into option price modeling in the South African market with a particular focus on its most important parameter, namely the volatility of the underlying. The primary objective of the thesis therefore is to offer an option price model that takes account of the...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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| _version_ | 1867613157939216384 |
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| access_status_str | Open Access |
| author | Wandmacher, Ralf |
| author2 | Bradfield, Dave |
| author_browse | Bradfield, Dave Wandmacher, Ralf |
| author_facet | Bradfield, Dave Wandmacher, Ralf |
| author_sort | Wandmacher, Ralf |
| collection | Thesis |
| description | This thesis examines and extends research into option price modeling in the South African market with a particular focus on its most important parameter, namely the volatility of the underlying. The primary objective of the thesis therefore is to offer an option price model that takes account of the conditions of the environment prevailing in South Africa. The initial aim of the thesis is to describe the behaviour of the volatility in the South African market. This is achieved by conducting three empirical examinations using data from the South African Futures Exchange (SAFEX). The empirical examinations are partly based on standard methodologies (that have been modified in the thesis) and partly based on original methodologies adapted for the South African environment. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/19642 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:41.113Z |
| 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:11427/19642 Options and volatility effects in South Africa Wandmacher, Ralf Bradfield, Dave Financial Statistics This thesis examines and extends research into option price modeling in the South African market with a particular focus on its most important parameter, namely the volatility of the underlying. The primary objective of the thesis therefore is to offer an option price model that takes account of the conditions of the environment prevailing in South Africa. The initial aim of the thesis is to describe the behaviour of the volatility in the South African market. This is achieved by conducting three empirical examinations using data from the South African Futures Exchange (SAFEX). The empirical examinations are partly based on standard methodologies (that have been modified in the thesis) and partly based on original methodologies adapted for the South African environment. 2016-05-13T09:33:35Z 2016-05-13T09:33:35Z 1998 Doctoral Thesis Doctoral PhD http://hdl.handle.net/11427/19642 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Statistics Wandmacher, Ralf Options and volatility effects in South Africa |
| thesis_degree_str | Doctoral |
| title | Options and volatility effects in South Africa |
| title_full | Options and volatility effects in South Africa |
| title_fullStr | Options and volatility effects in South Africa |
| title_full_unstemmed | Options and volatility effects in South Africa |
| title_short | Options and volatility effects in South Africa |
| title_sort | options and volatility effects in south africa |
| topic | Financial Statistics |
| url | http://hdl.handle.net/11427/19642 |
| work_keys_str_mv | AT wandmacherralf optionsandvolatilityeffectsinsouthafrica |