The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market

Simple item page
dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorMunhumwe, Blessingen_ZA
dc.date.accessioned2015-06-01T14:09:47Z
dc.date.available2015-06-01T14:09:47Z
dc.date.issued2011en_ZA
dc.descriptionIncludes bibliographical references (leaves [51] - 55).en_ZA
dc.description.abstractThe purpose of this study is to price options under jump diffusions using Fourier Transforms and obtain the implied volatility surface from these option prices.en_ZA
dc.identifier.apacitationMunhumwe, B. (2011). <i>The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/13042en_ZA
dc.identifier.chicagocitationMunhumwe, Blessing. <i>"The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/13042en_ZA
dc.identifier.citationMunhumwe, B. 2011. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Munhumwe, Blessing AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market TI - The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market UR - http://hdl.handle.net/11427/13042 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/13042
dc.identifier.vancouvercitationMunhumwe B. The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/13042en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleThe Bates model : Fourier Transform for option pricing under jump-diffusions in the South African marketen_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
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2011_munhumwe_b.pdf
Size:
1.33 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters