A comparison of three analytical approximations for basket option valuation

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dc.contributor.advisorFloor, Justinen_ZA
dc.contributor.authorHagspihl, Christophen_ZA
dc.date.accessioned2016-04-07T10:17:46Z
dc.date.available2016-04-07T10:17:46Z
dc.date.issued2013en_ZA
dc.description.abstractThree prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed.en_ZA
dc.identifier.apacitationHagspihl, C. (2013). <i>A comparison of three analytical approximations for basket option valuation</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/18690en_ZA
dc.identifier.chicagocitationHagspihl, Christoph. <i>"A comparison of three analytical approximations for basket option valuation."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2013. http://hdl.handle.net/11427/18690en_ZA
dc.identifier.citationHagspihl, C. 2013. A comparison of three analytical approximations for basket option valuation. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Hagspihl, Christoph AB - Three prominent analytical approximations for pricing basket options,by Levy (1992), Ju (2002) and Deelstra et aI. (2004), are tested for performance and accuracy. Sensitivity analysis shows that all three have greater errors in high volatility and long maturity environments, while Deelstra has weaknesses with small correlation and baskets with few stocks. Deelstra and Levy show tendencies to underprice and overprice respectively, while Ju's errors are more consistently around the true price. A mathematical understanding of the three techniques is also developed. DA - 2013 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2013 T1 - A comparison of three analytical approximations for basket option valuation TI - A comparison of three analytical approximations for basket option valuation UR - http://hdl.handle.net/11427/18690 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/18690
dc.identifier.vancouvercitationHagspihl C. A comparison of three analytical approximations for basket option valuation. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2013 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/18690en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleA comparison of three analytical approximations for basket option valuationen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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