Options and volatility effects in South Africa

 

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dc.contributor.advisor Bradfield, Dave en_ZA
dc.contributor.author Wandmacher, Ralf en_ZA
dc.date.accessioned 2016-05-13T09:33:35Z
dc.date.available 2016-05-13T09:33:35Z
dc.date.issued 1998 en_ZA
dc.identifier.citation Wandmacher, R. 1998. Options and volatility effects in South Africa. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/19642
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Statistics en_ZA
dc.title Options and volatility effects in South Africa en_ZA
dc.type Doctoral Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Division of Actuarial Science en_ZA
dc.type.qualificationlevel Doctoral
dc.type.qualificationname PhD en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Wandmacher, R. (1998). <i>Options and volatility effects in South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/19642 en_ZA
dc.identifier.chicagocitation Wandmacher, Ralf. <i>"Options and volatility effects in South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 1998. http://hdl.handle.net/11427/19642 en_ZA
dc.identifier.vancouvercitation Wandmacher R. Options and volatility effects in South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 1998 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/19642 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Wandmacher, Ralf AB - 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. DA - 1998 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1998 T1 - Options and volatility effects in South Africa TI - Options and volatility effects in South Africa UR - http://hdl.handle.net/11427/19642 ER - en_ZA


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