An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market

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dc.contributor.advisorAbraham, Haimen_ZA
dc.contributor.authorChen, Hung-Hsiangen_ZA
dc.date.accessioned2014-07-31T12:26:36Z
dc.date.available2014-07-31T12:26:36Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractThe assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market.en_ZA
dc.identifier.apacitationChen, H. (2005). <i>An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5771en_ZA
dc.identifier.chicagocitationChen, Hung-Hsiang. <i>"An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2005. http://hdl.handle.net/11427/5771en_ZA
dc.identifier.citationChen, H. 2005. An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Chen, Hung-Hsiang AB - The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock Exchange based on a comparison of option implied distributions of the terminal price of the TOP European Call option with lognormal distribution. The result indicates that the constant volatility of Black-Scholes model does not show in the selected warrant market. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market TI - An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market UR - http://hdl.handle.net/11427/5771 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5771
dc.identifier.vancouvercitationChen H. An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5771en_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.otherEconomicsen_ZA
dc.titleAn examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants marketen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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