A stochastic model of the South African gold mines

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dc.contributor.authorBeelders, Owen
dc.date.accessioned2023-09-21T13:27:54Z
dc.date.available2023-09-21T13:27:54Z
dc.date.issued1991
dc.date.updated2023-09-21T13:27:11Z
dc.description.abstractA stochastic model of the South African Gold mines was constructed using Contingent Claims Analysis. This method allows the modelling of the major sources of uncertainty that the gold mines face, namely, uncertainty surrounding the future gold price, the exchange rate, the inflation rate, and the interest rate. The trajectories of these variables were modelled by stochastic differential equations. By applying the principles of contingent claims analysis, we could obtain a valuation partial differential equation that described the value of the mine contingent on the current values of the state variables mentioned above. This partial differential equation was solved by the Monte Carlo method and the solution was compared to current estimates of the mines' value.
dc.identifier.apacitationBeelders, O. (1991). <i>A stochastic model of the South African gold mines</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/38813en_ZA
dc.identifier.chicagocitationBeelders, Owen. <i>"A stochastic model of the South African gold mines."</i> ., ,Faculty of Commerce ,School of Economics, 1991. http://hdl.handle.net/11427/38813en_ZA
dc.identifier.citationBeelders, O. 1991. A stochastic model of the South African gold mines. . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/38813en_ZA
dc.identifier.ris TY - Master Thesis AU - Beelders, Owen AB - A stochastic model of the South African Gold mines was constructed using Contingent Claims Analysis. This method allows the modelling of the major sources of uncertainty that the gold mines face, namely, uncertainty surrounding the future gold price, the exchange rate, the inflation rate, and the interest rate. The trajectories of these variables were modelled by stochastic differential equations. By applying the principles of contingent claims analysis, we could obtain a valuation partial differential equation that described the value of the mine contingent on the current values of the state variables mentioned above. This partial differential equation was solved by the Monte Carlo method and the solution was compared to current estimates of the mines' value. DA - 1991 DB - OpenUCT DP - University of Cape Town KW - Gold Mines LK - https://open.uct.ac.za PY - 1991 T1 - A stochastic model of the South African gold mines TI - A stochastic model of the South African gold mines UR - http://hdl.handle.net/11427/38813 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/38813
dc.identifier.vancouvercitationBeelders O. A stochastic model of the South African gold mines. []. ,Faculty of Commerce ,School of Economics, 1991 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/38813en_ZA
dc.language.rfc3066eng
dc.publisher.departmentSchool of Economics
dc.publisher.facultyFaculty of Commerce
dc.subjectGold Mines
dc.titleA stochastic model of the South African gold mines
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMA
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