KVA in Black Scholes Pricing
| dc.contributor.advisor | Ouwehand, Peter | |
| dc.contributor.advisor | Mahomed, Obeid | |
| dc.contributor.author | Pavlou, Petro | |
| dc.date.accessioned | 2020-02-06T08:24:16Z | |
| dc.date.available | 2020-02-06T08:24:16Z | |
| dc.date.issued | 2019 | |
| dc.date.updated | 2020-02-04T07:49:25Z | |
| dc.description.abstract | The post 2007-financial crisis era has led to renewed zeal in quantifying market incompleteness when pricing contingent claims. This quantification exercise is necessary in maintaining a stable and sustainable banking operation and thus the XVAs have emerged as the metrics for market incompleteness. This dissertation focuses solely on the capital valuation adjustment (KVA) and aims to use the definition of KVA as set out by Albanese et al. (2016) in an investigation of different numerical techniques for calculating KVA. A single equity forward is considered first, followed by an equity option and then portfolios of options on two underlying assets, with the dissertation ending by considering a practical example on discrete delta and vega-delta hedging an index option. The numerical approaches explored are the binomial tree method and a combination of the crude and quasi-Monte Carlo method. | |
| dc.identifier.apacitation | Pavlou, P. (2019). <i>KVA in Black Scholes Pricing</i>. (). ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management. Retrieved from http://hdl.handle.net/11427/30880 | en_ZA |
| dc.identifier.chicagocitation | Pavlou, Petro. <i>"KVA in Black Scholes Pricing."</i> ., ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019. http://hdl.handle.net/11427/30880 | en_ZA |
| dc.identifier.citation | Pavlou, P. 2019. KVA in Black Scholes Pricing. | en_ZA |
| dc.identifier.ris | TY - Thesis / Dissertation AU - Pavlou, Petro AB - The post 2007-financial crisis era has led to renewed zeal in quantifying market incompleteness when pricing contingent claims. This quantification exercise is necessary in maintaining a stable and sustainable banking operation and thus the XVAs have emerged as the metrics for market incompleteness. This dissertation focuses solely on the capital valuation adjustment (KVA) and aims to use the definition of KVA as set out by Albanese et al. (2016) in an investigation of different numerical techniques for calculating KVA. A single equity forward is considered first, followed by an equity option and then portfolios of options on two underlying assets, with the dissertation ending by considering a practical example on discrete delta and vega-delta hedging an index option. The numerical approaches explored are the binomial tree method and a combination of the crude and quasi-Monte Carlo method. DA - 2019 DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2019 T1 - KVA in Black Scholes Pricing TI - KVA in Black Scholes Pricing UR - http://hdl.handle.net/11427/30880 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/30880 | |
| dc.identifier.vancouvercitation | Pavlou P. KVA in Black Scholes Pricing. []. ,Faculty of Commerce ,African Institute of Financial Markets and Risk Management, 2019 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/30880 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | African Institute of Financial Markets and Risk Management | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Mathematical Finance | |
| dc.title | KVA in Black Scholes Pricing | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationname | MPhil |