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A stochastic model of the South African gold mines
A stochastic model of the South African Gold mines was constructed using Contingent Claims Analysis. This method allows the modelling of the major sources of uncertainty that the gold mines face, namely, uncertainty surrounding the future gold price, the exchange rate, the inflation rate, and the in...
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| Format: | Thesis |
| Language: | English |
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School of Economics
2023
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| _version_ | 1867613297385144320 |
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| access_status_str | Open Access |
| author | Beelders, Owen |
| author_browse | Beelders, Owen |
| author_facet | Beelders, Owen |
| author_sort | Beelders, Owen |
| collection | Thesis |
| description | A stochastic model of the South African Gold mines was constructed using Contingent Claims Analysis. This method allows the modelling of the major sources of uncertainty that the gold mines face, namely, uncertainty surrounding the future gold price, the exchange rate, the inflation rate, and the interest rate. The trajectories of these variables were modelled by stochastic differential equations. By applying the principles of contingent claims analysis, we could obtain a valuation partial differential equation that described the value of the mine contingent on the current values of the state variables mentioned above. This partial differential equation was solved by the Monte Carlo method and the solution was compared to current estimates of the mines' value. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/38813 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:54.099Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2023 |
| publishDateRange | 2023 |
| publishDateSort | 2023 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/38813 A stochastic model of the South African gold mines Beelders, Owen Gold Mines A stochastic model of the South African Gold mines was constructed using Contingent Claims Analysis. This method allows the modelling of the major sources of uncertainty that the gold mines face, namely, uncertainty surrounding the future gold price, the exchange rate, the inflation rate, and the interest rate. The trajectories of these variables were modelled by stochastic differential equations. By applying the principles of contingent claims analysis, we could obtain a valuation partial differential equation that described the value of the mine contingent on the current values of the state variables mentioned above. This partial differential equation was solved by the Monte Carlo method and the solution was compared to current estimates of the mines' value. 2023-09-21T13:27:54Z 2023-09-21T13:27:54Z 1991 2023-09-21T13:27:11Z Master Thesis Masters MA http://hdl.handle.net/11427/38813 eng application/pdf School of Economics Faculty of Commerce |
| spellingShingle | Gold Mines Beelders, Owen A stochastic model of the South African gold mines |
| thesis_degree_str | Master's |
| title | A stochastic model of the South African gold mines |
| title_full | A stochastic model of the South African gold mines |
| title_fullStr | A stochastic model of the South African gold mines |
| title_full_unstemmed | A stochastic model of the South African gold mines |
| title_short | A stochastic model of the South African gold mines |
| title_sort | stochastic model of the south african gold mines |
| topic | Gold Mines |
| url | http://hdl.handle.net/11427/38813 |
| work_keys_str_mv | AT beeldersowen astochasticmodelofthesouthafricangoldmines AT beeldersowen stochasticmodelofthesouthafricangoldmines |