Finite activity jump models for option pricing

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorKoimburi, Mercy Muthonien_ZA
dc.date.accessioned2014-11-05T03:48:45Z
dc.date.available2014-11-05T03:48:45Z
dc.date.issued2011en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractThis thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options.en_ZA
dc.identifier.apacitationKoimburi, M. M. (2011). <i>Finite activity jump models for option pricing</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/9115en_ZA
dc.identifier.chicagocitationKoimburi, Mercy Muthoni. <i>"Finite activity jump models for option pricing."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011. http://hdl.handle.net/11427/9115en_ZA
dc.identifier.citationKoimburi, M. 2011. Finite activity jump models for option pricing. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Koimburi, Mercy Muthoni AB - This thesis aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. Finally, using the parameters generated, we use the two stated models to price barrier options. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Finite activity jump models for option pricing TI - Finite activity jump models for option pricing UR - http://hdl.handle.net/11427/9115 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/9115
dc.identifier.vancouvercitationKoimburi MM. Finite activity jump models for option pricing. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/9115en_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.titleFinite activity jump models for option pricingen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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