An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees

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dc.contributor.advisorDorrington, Roben_ZA
dc.contributor.authorGamerov, Stevenen_ZA
dc.date.accessioned2016-03-04T16:44:21Z
dc.date.available2016-03-04T16:44:21Z
dc.date.issued1995en_ZA
dc.descriptionBibliography: pages 117-[124].en_ZA
dc.description.abstractThis thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee.en_ZA
dc.identifier.apacitationGamerov, S. (1995). <i>An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/17475en_ZA
dc.identifier.chicagocitationGamerov, Steven. <i>"An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 1995. http://hdl.handle.net/11427/17475en_ZA
dc.identifier.citationGamerov, S. 1995. An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Gamerov, Steven AB - This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually in excess of five years. The thesis investigates whether the assumptions underlying the Black-Scholes model, which was developed for pricing short term traded options, are still acceptable when applied to long term options, and if not, what adjustments need to be made. The paper focuses on the pricing of European put options which are equivalent to the payoff of a maturity guarantee. DA - 1995 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 1995 T1 - An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees TI - An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees UR - http://hdl.handle.net/11427/17475 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/17475
dc.identifier.vancouvercitationGamerov S. An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 1995 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/17475en_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.otherActuarial Scienceen_ZA
dc.titleAn investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guaranteesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMBusScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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