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An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613241656475648 |
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| access_status_str | Open Access |
| author | Chen, Hung-Hsiang |
| author2 | Abraham, Haim |
| author_browse | Abraham, Haim Chen, Hung-Hsiang |
| author_facet | Abraham, Haim Chen, Hung-Hsiang |
| author_sort | Chen, Hung-Hsiang |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/5771 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:01.081Z |
| 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 | 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:11427/5771 An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market Chen, Hung-Hsiang Abraham, Haim Economics Includes bibliographical references. The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market. 2014-07-31T12:26:36Z 2014-07-31T12:26:36Z 2005 Master Thesis Masters MCom http://hdl.handle.net/11427/5771 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Economics Chen, Hung-Hsiang An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| thesis_degree_str | Master's |
| title | An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| title_full | An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| title_fullStr | An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| title_full_unstemmed | An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| title_short | An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market |
| title_sort | examination of kurtosis of lognormality in the black scholes option pricing formula in the south african warrants market |
| topic | Economics |
| url | http://hdl.handle.net/11427/5771 |
| work_keys_str_mv | AT chenhunghsiang anexaminationofkurtosisoflognormalityintheblackscholesoptionpricingformulainthesouthafricanwarrantsmarket AT chenhunghsiang examinationofkurtosisoflognormalityintheblackscholesoptionpricingformulainthesouthafricanwarrantsmarket |