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Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613343053774848 |
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| access_status_str | Open Access |
| author | Acott, David M |
| author2 | Ouwehand, Peter |
| author_browse | Acott, David M Ouwehand, Peter |
| author_facet | Ouwehand, Peter Acott, David M |
| author_sort | Acott, David M |
| collection | Thesis |
| description | Word processed copy. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4953 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:38.153Z |
| 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:11427/4953 Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck Acott, David M Ouwehand, Peter Mathematics and Applied Mathematics Word processed copy. Includes bibliographical references (leaves 183-188). This dissertation considers the errors when using Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. In particular, we consider an economy with Vasicek (1977) type interest rates. 2014-07-31T08:11:19Z 2014-07-31T08:11:19Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/4953 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Acott, David M Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| thesis_degree_str | Master's |
| title | Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| title_full | Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| title_fullStr | Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| title_full_unstemmed | Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| title_short | Equity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck |
| title_sort | equity options and stochastic interest rates error in black scholes prices and hedges for european and american style equity options when short rates are ornstein uhlenbeck |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4953 |
| work_keys_str_mv | AT acottdavidm equityoptionsandstochasticinterestrateserrorinblackscholespricesandhedgesforeuropeanandamericanstyleequityoptionswhenshortratesareornsteinuhlenbeck |