Options and volatility effects in South Africa

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dc.contributor.advisorBradfield, Daveen_ZA
dc.contributor.authorWandmacher, Ralfen_ZA
dc.date.accessioned2016-05-13T09:33:35Z
dc.date.available2016-05-13T09:33:35Z
dc.date.issued1998en_ZA
dc.description.abstractThis 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.identifier.apacitationWandmacher, 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/11427/19642en_ZA
dc.identifier.chicagocitationWandmacher, 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/11427/19642en_ZA
dc.identifier.citationWandmacher, R. 1998. Options and volatility effects in South Africa. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/19642
dc.identifier.vancouvercitationWandmacher 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/11427/19642en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Statisticsen_ZA
dc.titleOptions and volatility effects in South Africaen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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