Extracting risk aversion estimates from option prices/implied volatility

Simple item page
dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorPillay, Aveshenen_ZA
dc.date.accessioned2015-01-05T06:48:18Z
dc.date.available2015-01-05T06:48:18Z
dc.date.issued2010en_ZA
dc.description.abstractThe risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price.en_ZA
dc.identifier.apacitationPillay, A. (2010). <i>Extracting risk aversion estimates from option prices/implied volatility</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/11350en_ZA
dc.identifier.chicagocitationPillay, Aveshen. <i>"Extracting risk aversion estimates from option prices/implied volatility."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/11350en_ZA
dc.identifier.citationPillay, A. 2010. Extracting risk aversion estimates from option prices/implied volatility. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Pillay, Aveshen AB - The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Extracting risk aversion estimates from option prices/implied volatility TI - Extracting risk aversion estimates from option prices/implied volatility UR - http://hdl.handle.net/11427/11350 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11350
dc.identifier.vancouvercitationPillay A. Extracting risk aversion estimates from option prices/implied volatility. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11350en_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.otherMathematical Financeen_ZA
dc.titleExtracting risk aversion estimates from option prices/implied volatilityen_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_2010_pillay_a.pdf
Size:
2.4 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters