Valuing risky income streams in incomplete markets

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dc.contributor.advisorOuwehand, Peteren_ZA
dc.contributor.authorJohnson, Clareen_ZA
dc.date.accessioned2014-07-31T08:08:04Z
dc.date.available2014-07-31T08:08:04Z
dc.date.issued2001en_ZA
dc.descriptionBibliography: leaves 69-71.
dc.description.abstractEmpirical evidence suggesting that world financial markets are incomplete leads to the question of how best to price and hedge contingent claims and derivative securities in incomplete markets. The focus of this dissertation is on a model proposed by Carr, Geman and Madam [7], which combines elements of arbitrage pricing theory with expected utility maximisation to decide whether a risky investment opportunity is worth undertaking or not. An account of the state of the art of pricing and hedging in incomplete markets is followed by a detailed exposition of the new model. A chapter which details the issues which arise when the model is extended treats multiple time periods, continuous time, and an infinite state space. It is not entirely obvious in each case how the model may be extended, and current work is considered along with some new suggestions to address these issues. A small battery of computer simulations based on the proposed multiple period model is performed using a trinomial tree structure. A justification for using the new model rather than finite difference or classical multinomial tree methods is provided in the form of an argument which establishes the validity of a new approach in cases when the Black-Scholes formulation cannot be applied, chiefly when the market is incomplete.en_ZA
dc.identifier.apacitationJohnson, C. (2001). <i>Valuing risky income streams in incomplete markets</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4892en_ZA
dc.identifier.chicagocitationJohnson, Clare. <i>"Valuing risky income streams in incomplete markets."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2001. http://hdl.handle.net/11427/4892en_ZA
dc.identifier.citationJohnson, C. 2001. Valuing risky income streams in incomplete markets. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Johnson, Clare AB - Empirical evidence suggesting that world financial markets are incomplete leads to the question of how best to price and hedge contingent claims and derivative securities in incomplete markets. The focus of this dissertation is on a model proposed by Carr, Geman and Madam [7], which combines elements of arbitrage pricing theory with expected utility maximisation to decide whether a risky investment opportunity is worth undertaking or not. An account of the state of the art of pricing and hedging in incomplete markets is followed by a detailed exposition of the new model. A chapter which details the issues which arise when the model is extended treats multiple time periods, continuous time, and an infinite state space. It is not entirely obvious in each case how the model may be extended, and current work is considered along with some new suggestions to address these issues. A small battery of computer simulations based on the proposed multiple period model is performed using a trinomial tree structure. A justification for using the new model rather than finite difference or classical multinomial tree methods is provided in the form of an argument which establishes the validity of a new approach in cases when the Black-Scholes formulation cannot be applied, chiefly when the market is incomplete. DA - 2001 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2001 T1 - Valuing risky income streams in incomplete markets TI - Valuing risky income streams in incomplete markets UR - http://hdl.handle.net/11427/4892 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4892
dc.identifier.vancouvercitationJohnson C. Valuing risky income streams in incomplete markets. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2001 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4892en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics and Applied Mathematicsen_ZA
dc.titleValuing risky income streams in incomplete marketsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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