An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market

 

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dc.contributor.advisor Abraham, Haim en_ZA
dc.contributor.author Chen, Hung-Hsiang en_ZA
dc.date.accessioned 2014-07-31T12:26:36Z
dc.date.available 2014-07-31T12:26:36Z
dc.date.issued 2005 en_ZA
dc.identifier.citation Chen, H. 2005. An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/5771
dc.description Includes bibliographical references.
dc.description.abstract 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. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Economics en_ZA
dc.title An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market en_ZA
dc.type Thesis / Dissertation en_ZA
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 School of Economics en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image


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