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Pricing equity options on multiple underlyings in the South African context
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613459911278592 |
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| access_status_str | Open Access |
| author | Preston, Bradley |
| author2 | Bosman, Petrus |
| author_browse | Bosman, Petrus Preston, Bradley |
| author_facet | Bosman, Petrus Preston, Bradley |
| author_sort | Preston, Bradley |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4922 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:36:29.692Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4922 Pricing equity options on multiple underlyings in the South African context Preston, Bradley Bosman, Petrus Mathematics of Finance Includes abstract. Includes bibliographical references (leaves 81-83). It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew. 2014-07-31T08:10:47Z 2014-07-31T08:10:47Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4922 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Preston, Bradley Pricing equity options on multiple underlyings in the South African context |
| thesis_degree_str | Master's |
| title | Pricing equity options on multiple underlyings in the South African context |
| title_full | Pricing equity options on multiple underlyings in the South African context |
| title_fullStr | Pricing equity options on multiple underlyings in the South African context |
| title_full_unstemmed | Pricing equity options on multiple underlyings in the South African context |
| title_short | Pricing equity options on multiple underlyings in the South African context |
| title_sort | pricing equity options on multiple underlyings in the south african context |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/4922 |
| work_keys_str_mv | AT prestonbradley pricingequityoptionsonmultipleunderlyingsinthesouthafricancontext |