Alternatives to the Black-Scholes model

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dc.contributor.advisorOuwehand, Peteren_ZA
dc.contributor.authorDurrell, Fernandoen_ZA
dc.date.accessioned2014-07-31T08:07:03Z
dc.date.available2014-07-31T08:07:03Z
dc.date.issued2001en_ZA
dc.descriptionBibliography: leaves 44-45.
dc.description.abstractIn this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market.en_ZA
dc.identifier.apacitationDurrell, F. (2001). <i>Alternatives to the Black-Scholes model</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4881en_ZA
dc.identifier.chicagocitationDurrell, Fernando. <i>"Alternatives to the Black-Scholes model."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2001. http://hdl.handle.net/11427/4881en_ZA
dc.identifier.citationDurrell, F. 2001. Alternatives to the Black-Scholes model. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Durrell, Fernando AB - In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market. DA - 2001 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2001 T1 - Alternatives to the Black-Scholes model TI - Alternatives to the Black-Scholes model UR - http://hdl.handle.net/11427/4881 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4881
dc.identifier.vancouvercitationDurrell F. Alternatives to the Black-Scholes model. [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/11427/4881en_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.titleAlternatives to the Black-Scholes modelen_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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