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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dc.contributor.advisor Ouwehand, Peter en_ZA
dc.contributor.author Acott, David M en_ZA
dc.date.accessioned 2014-07-31T08:11:19Z
dc.date.available 2014-07-31T08:11:19Z
dc.date.issued 2006 en_ZA
dc.identifier.citation Acott, D. 2006. 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. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4953
dc.description Word processed copy.
dc.description Includes bibliographical references (leaves 183-188).
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Mathematics and Applied Mathematics en_ZA
dc.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 en_ZA
dc.type Master 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 Science en_ZA
dc.publisher.department Department of Mathematics and Applied Mathematics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Acott, D. M. (2006). <i>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</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4953 en_ZA
dc.identifier.chicagocitation Acott, David M. <i>"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."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006. http://hdl.handle.net/11427/4953 en_ZA
dc.identifier.vancouvercitation Acott DM. 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]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4953 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Acott, David M AB - 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. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - 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 TI - 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 UR - http://hdl.handle.net/11427/4953 ER - en_ZA


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