The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
Master Thesis
2011
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University of Cape Town
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Abstract
The purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.
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Includes bibliographical references (leaves [51] - 55).
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Reference:
Munhumwe, B. 2011. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. University of Cape Town.